# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000539
**Filing Date:** 2025-8
**Character Count:** 245464
**Document Hash:** 004e085b10fd1930ca05cf100b3da6bf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000539.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000539

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277449

**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 Dynamic Bond Portfolio (Series ID: S000031689)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000098623 | Administrative | PUNCBDA         |
| C000098624 | Institutional  | PVUCBPA         |
| C000098625 | Advisor        | PUNCBAD         |
| C000139587 | M              | PUNCBAM         |

## 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 Dynamic Bond Portfolio

- **b. EDGAR series identifier (if any):** S000031689

- **c. LEI of Series:** 2Y1XML2ORN6K1XCACT73

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $248005763.48

**Total Liabilities:** $161093476.70

**Net Assets:** $86912286.78

**Delayed Delivery Securities:** $1235376.97

**Cash Not Reported:** $8095922.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6741.916000 | **1-Year:** 4904.796700 | **5-Year:** 27985.736800 | **10-Year:** 6103.641300 | **30-Year:** -1237.397400

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

- **3-Month:** 462.261800 | **1-Year:** 2039.124600 | **5-Year:** 5022.602100 | **10-Year:** 1089.068600 | **30-Year:** 47.204800

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098623 | 0.08%                | 0.18%                | 1.49%                |
| Class ID C000098625 | 0.07%                | 0.17%                | 1.48%                |
| Class ID C000139587 | 0.06%                | 0.15%                | 1.46%                |
| Class ID C000098624 | 0.09%                | 0.19%                | 1.50%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-267271.63              | $333212.89                                 |
| Month 2  | $65977.51                | $-489499.56                                |
| Month 3  | $-246781.56              | $1546453.40                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMERICAN HOME MORTGAGE ASSETS 2007-3                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 11A1           | CUSIP: 026935AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301079 | PA      | $290613.08    | 0.33%             | 2037-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                      | COOPERAT RABOBANK UA/NY 10/26 5.5                        | CUSIP: 21688AAY8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $304999.99    | 0.35%             | 2026-10-05      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750QN05 PIMCO CDSOPT PUT USD 0.85 20250716             | CUSIP: OP0043Z50<br>LEI: N/A                  | N/A              | DCR              |  | US        |    -100000 | NC      | $-7.17        | -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        |    4600000 | PA      | $1343200.00   | 1.55%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL DISTRIBUTION SERVICES PLC                       | INT DISTRIBUTION SERV COMPANY GUAR REGS 09/30 7.375      | CUSIP: ACI2JQ0Q6<br>LEI: 213800TCZZU84G8Z2M70 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $144371.59    | 0.17%             | 2030-09-14      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-136.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| X CORPORATION                                                 | TWITTER INC 2025 FIXED TERM LOAN                         | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     100000 | PA      | $97375.00     | 0.11%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3700000 | PA      | $3537892.27   | 4.07%             | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20250818                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2877.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 10/25 0.00000                              | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1800000 | PA      | $1776512.20   | 2.04%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $85.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-320.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SEK BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $2.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 1.00000 05/18/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2339.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2090.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 12                                                | KKR FINANCIAL CLO LTD KKR 12 AR2A 144A                   | CUSIP: 48250RBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      71674 | PA      | $71756.82     | 0.08%             | 2030-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                              | DEUTSCHE BANK NY 07/26 VAR                               | CUSIP: 25160PAJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $400171.68    | 0.46%             | 2026-07-14      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $3998833.12   | 4.60%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1849.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                           | NEXTERA ENERGY CAP HLDGS INC                             | CUSIP: 65339MUU8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249105.28    | 0.29%             | 2025-07-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250708                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-461.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85         | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $193044.42    | 0.22%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.46000 03/13/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1291.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750QMA4 PIMCO CDSOPT PUT USD 1.0 20250716              | CUSIP: OP0043WJ3<br>LEI: N/A                  | N/A              | DCR              |  | US        |    -100000 | NC      | $-6.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                         | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     592646 | PA      | $610420.01    | 0.70%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14462.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                       | BCAP LLC TRUST BCAP 2011 RR5 15A1 144A                   | CUSIP: 05534AAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     304787 | PA      | $110380.64    | 0.13%             | 2036-06-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                            | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875              | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102892.31    | 0.12%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-44              | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 44 TF            | CUSIP: 38382PML3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101524 | PA      | $91766.24     | 0.11%             | 2051-03-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-15.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT AUD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $4624.46      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-991.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250725                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $332.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14200000 | PA      | $14417295.78  | 16.59%            | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                  | ROMANIA UNSECURED 144A 07/30 1.75                        | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $101300.22    | 0.12%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14899.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-49.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                             | VENTURE GLOBAL CALCASIEU SR SECURED 144A 11/33 3.875     | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87530.90     | 0.10%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250811                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8539.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CHF BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2775.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-11116.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD DOP BOUGHT USD 20250728                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $42.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1343.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-25                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 25 1A2         | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370555 | PA      | $165330.57    | 0.19%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 0.70000 04/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3069.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250709                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-352.77      | -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        |     100000 | PA      | $119767.87    | 0.14%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9N4A7 PIMCO SWAPTION 3.555 CALL USD 202507           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-360.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250730                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1093.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | CDX IG44 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $220040.88    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | CDX IG43 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $29672.64     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250730                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3079.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $209.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS BV                                         | BP CAPITAL MARKETS B.V. 09/31 3.36                       | CUSIP: ACI2R4D66<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $237731.64    | 0.27%             | 2031-09-12      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-127.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO260626                               | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  211571000 | PA      | $111110.83    | 0.13%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4319.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9FTA7 PIMCO SWAPTION 4.05 PUT USD 20250630           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | US TREASURY N/B 02/26 0.5                                | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $976079.26    | 1.12%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                 | BGC GROUP INC SR UNSECURED 144A 04/30 6.15               | CUSIP: 05555LAC5<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50711.30     | 0.06%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250709                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2313.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5064                                       | FREDDIE MAC FHR 5064 PI                                  | CUSIP: 3137F8LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     927278 | PA      | $93042.20     | 0.11%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5          | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    9100000 | PA      | $447460.68    | 0.51%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-16734.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CAD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $943.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $14.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO260629                               | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  211571000 | PA      | $110937.86    | 0.13%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6RVA1 PIMCO SWAPTION 2.75 CALL USD 2025080           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -15300000 | NC      | $-253.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CHF SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $3083.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $248.51       | 0.00%             |  |  |  | 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        |    1400000 | PA      | $402804.80    | 0.46%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15           | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198112.61    | 0.23%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1137.40      | 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      | $-809.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 3 MONTH SOFR FUT  JUN25 XCME 20250916                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $-16169.05    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                       | BPCE SA 144A 10/34 VAR                                   | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $274782.61    | 0.32%             | 2034-10-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250818                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $769.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-260.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24500000 | PA      | $23997983.73  | 27.61%            | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT JPY SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $778.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD INR BOUGHT USD 20250707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1154.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                   | NATIONWIDE BUILDING SOC CCDS COMMON STOCK                | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |        250 | NS      | $44621.38     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                            | ALLY FINANCIAL INC ALLY FINANCIAL INC                    | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105620.36    | 0.12%             | 2030-01-03      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD AUD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-826.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250910                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4740.66     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3621.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20250718                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1878.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 10/25 0.00000                              | CUSIP: 912797RB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     900000 | PA      | $889714.59    | 1.02%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                  | ALIMENTATION COUCHE TARD INC                             | CUSIP: 01626UU78<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $249773.73    | 0.29%             | 2025-07-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                  | BROADCOM INC SR UNSECURED 04/30 5.05                     | CUSIP: 11135FCF6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204940.31    | 0.24%             | 2030-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A          | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     215756 | PA      | $130371.37    | 0.15%             | 2039-09-07      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-14353.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20250710                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6377.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CANTOR FITZGERALD LP                                          | CANTOR FITZGERALD LP CANTOR FITZGERALD LP                | CUSIP: 138616AM9<br>LEI: 549300RLUEEVQEMX0450 | Long             | DBT              | CORP              | US        |     200000 | PA      | $212381.80    | 0.24%             | 2028-12-12      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2163632.60   | 2.49%             | 2054-07-15      | Fixed         | 3.00%                 | 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        |    2900000 | PA      | $893281.86    | 1.03%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1982.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $19.56        | 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        |      39750 | PA      | $40595.60     | 0.05%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 0.65000 04/12/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-6290.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                | EPH FIN INTERNATIONAL AS EPH FIN INTERNATIONAL AS        | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |     100000 | PA      | $127920.49    | 0.15%             | 2028-11-13      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7581.38     | -0.01%            |  |  |  | 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      | $-1781.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                          | CHARTER COMM OPETING LLC 2024 TERM LOAN B5               | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     182956 | PA      | $183447.67    | 0.21%             | 2031-12-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-939.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUC (MODENA BUYER LLC)                                        | MODENA BUYER LLC TERM LOAN                               | CUSIP: 60753DAC8<br>LEI: 254900B0G2IU0VBDOY26 | Long             | LON              | CORP              | US        |      99500 | PA      | $96079.69     | 0.11%             | 2031-07-01      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                  | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                 | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $256753.86    | 0.30%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR EUR ESTRON/2.41500 07/09/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4907.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-829.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A2C            | CUSIP: 61749KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     579390 | PA      | $210915.45    | 0.24%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1355.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $40271.68     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9JRA1 PIMCO SWAPTION 4.12 PUT USD 20250709           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20250707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2168.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 2YR NOTE (CBT) SEP25 XCBT 20250930                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         33 | NC      | $26197.83     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.52000 03/27/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-701.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $315.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST          | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     239316 | PA      | $226714.07    | 0.26%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BOBL FUTURE  SEP25 XEUR 20250908                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -5 | NC      | $3139.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.58876 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6744.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP1                            | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP1 1A3 144A        | CUSIP: 36242DXK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194791 | PA      | $200642.14    | 0.23%             | 2035-01-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 13.5454 05/21/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-24944.34    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-169.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $3525.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO110626                               | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   44033000 | PA      | $23307.03     | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9MJA3 PIMCO SWAPTION 4.05 PUT USD 20250721           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-90.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 11.49576 06/14/24-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-14342.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-878.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD GBP BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-5665.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6RTA4 PIMCO SWAPTION 3.75 CALL USD 2025080           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   15300000 | NC      | $13272.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250821                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-17331.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | FWD0789T4 COLOMBIA GOVT NDF                              | CUSIP: 955UFVII7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 2216300000 | PA      | $468779.80    | 0.54%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                   | MEXICAN UDIBONOS BONDS 11/28 4                           | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1190119 | PA      | $62182.10     | 0.07%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $924.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9HMA0 PIMCO SWAPTION 4.019 PUT USD 2025070           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-2.03        | -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      | $675.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-20521.92    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-161.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | MORGAN STANLEY SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $389.01       | 0.00%             |  |  |  | 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      | $158506.17    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 11.691 06/27/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $132611.38    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20251124                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-714.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/32 8.25         | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3500000 | PA      | $188778.08    | 0.22%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/8.50000 06/25/25-3Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-1456.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                            | VICI PROPERTIES LP SR UNSECURED 02/30 4.95               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201257.66    | 0.23%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1        | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123684 | PA      | $99356.41     | 0.11%             | 2047-02-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250708                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-48.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                      | LEHMAN XS TRUST LXS 2006 GP4 3A5                         | CUSIP: 525161AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182571 | PA      | $186548.77    | 0.21%             | 2046-08-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-23877.60    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-51.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $28.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A15      | CUSIP: 02149JCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273210 | PA      | $108171.02    | 0.12%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6VXA0 PIMCO FPPSWAPTION 3.255 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $35031.50     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $16.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-43.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6        | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $29151.16     | 0.03%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $5764.13      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0 | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1000000 | PA      | $91502.80     | 0.11%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-13525.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.25000 09/17/25-30Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $123672.22    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9GBA4 PIMCO SWAPTION 2.38 CALL EUR 2025070           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.51        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORPORATION                                               | RTX CORP 07/25 ZCP                                       | CUSIP: 78109FUF7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249516.73    | 0.29%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $5486.25      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | CAN 10YR BOND FUT SEP25 XMOD 20250918                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          8 | NC      | $6526.73      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-58.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20250707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $4068.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                          | GSAMP TRUST GSAMP 2006 FM3 A2C                           | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675861 | PA      | $315180.10    | 0.36%             | 2036-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20250710                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-558.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                              | T MOBILE USA INC COMPANY GUAR 04/30 3.875                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291457.10    | 0.34%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR           | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98637.96     | 0.11%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1SB 144A           | CUSIP: 078446AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     287369 | PA      | $74787.11     | 0.09%             | 2044-11-03      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2            | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195260.35    | 0.22%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-7924.86     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A3          | CUSIP: 23246LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13780 | PA      | $17544.59     | 0.02%             | 2047-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                         | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR             | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     100000 | PA      | $118392.40    | 0.14%             | 2027-02-23      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                    | EXELA INTERMED/EXELA FIN SR SECURED 144A 04/26 11.5      | CUSIP: 30162RAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     195184 | PA      | $9759.20      | 0.01%             | 2026-04-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6LHA0 PIMCO FPPSWAPTION 3.8 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $78234.00     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9GFA0 PIMCO SWAPTION 3.725 CALL USD 202507           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-532.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-4435.59     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-323.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITER BRANDS ACQUISITION HOLDCO INC                           | MI WINDOWS AND DOORS LLC 2024 TERM LOAN B2               | CUSIP: 55336CAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      99000 | PA      | $99337.59     | 0.11%             | 2031-03-21      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| COTY INC                                                      | COTY INC SR SECURED 144A 04/26 5                         | CUSIP: 222070AE4<br>LEI: 549300BO9IWPF3S48F93 | Long             | DBT              | CORP              | US        |      74000 | PA      | $74228.48     | 0.09%             | 2026-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6VWA1 PIMCO FPPSWAPTION 3.255 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $79196.90     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                              | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 4A1                | CUSIP: 126694VP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138319 | PA      | $123302.68    | 0.14%             | 2036-02-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9GNA1 PIMCO SWAPTION 3.75 CALL USD 2025070           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-680.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-12474.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6792.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A       | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      99542 | PA      | $99551.11     | 0.11%             | 2036-10-16      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250724                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $939.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-13176.67    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT AUD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $4572.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250730                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2146.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2282.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |     200000 | PA      | $179201.04    | 0.21%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9GMA2 PIMCO SWAPTION 4.1 PUT USD 20250703            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $2937.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD GBP BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-6427.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8173.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $117.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $254.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $-164.91      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 09/25 0.00000                              | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1585489.78   | 1.82%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250701                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $225.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 01/27 2.375                              | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      15906 | PA      | $16173.91     | 0.02%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                     | CAESARS ENTERTAINMENT INC. 2024 TERM LOAN B1             | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |      98750 | PA      | $98812.21     | 0.11%             | 2031-02-06      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000      | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |        750 | PA      | $868.97       | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4704                                       | FREDDIE MAC FHR 4704 SK                                  | CUSIP: 3137F1HV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342424 | PA      | $40114.37     | 0.05%             | 2047-07-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20250718                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2249.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $27606.49     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1342.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9LGA8 PIMCO SWAPTION 4.097 PUT USD 2025071           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-16.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KENNEDY WILSON EUROPE REAL ESTATE LIMITED                     | KENNEDY WILSON EUR REAL SR UNSECURED REGS 11/25 3.25     | CUSIP: ACI0HXJ38<br>LEI: 213800WIL553Z1T6DZ52 | Long             | DBT              | CORP              | JE        |      63158 | PA      | $73912.83     | 0.09%             | 2025-11-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                   | MEXICAN UDIBONOS BONDS 11/31 2.75                        | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1275127 | PA      | $60225.79     | 0.07%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                           | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR     | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $129209.11    | 0.15%             | 2028-01-18      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                          | LIFEPOINT HEALTH INC 2024 1ST LIEN TERM LOAN B           | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |     422936 | PA      | $419102.47    | 0.48%             | 2031-05-19      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1         | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10660 | PA      | $10229.80     | 0.01%             | 2034-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                        | NXP BV NXP FDG NXP USA DISC CO                           | CUSIP: 67122RU18<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     250000 | PA      | $249968.08    | 0.29%             | 2025-07-01      | None          | 0.00%                 | 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      | $-9654.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C             | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318342 | PA      | $164930.16    | 0.19%             | 2036-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                          | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75        | CUSIP: BP7M6FII1<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       2406 | PA      | $3633.44      | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/40 9            | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8200000 | PA      | $400505.99    | 0.46%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.57600 07/09/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $4327.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A              | CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 4A A1RR 144A    | CUSIP: 14311NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     321921 | PA      | $322258.53    | 0.37%             | 2032-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT EUR SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $14048.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                          | GNMA II TBA 30 YR 4 JUMBOS                               | CUSIP: 21H040673<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -200000 | PA      | $-185986.56   | -0.21%            | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3436.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20251114                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-19490.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD AUD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-4924.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-5555.01     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                | FWD019356 COLOMBIA GOVT NDF                              | CUSIP: 955UFTII2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 3191400000 | PA      | $705088.28    | 0.81%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3634.58      | 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        |    3281000 | PA      | $1007102.60   | 1.16%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1457.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US ULTRA BOND CBT SEP25 XCBT 20250919                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -38 | NC      | $-187090.15   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 0.65000 05/11/22-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-6248.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9O2A7 PIMCO SWAPTION 3.895 PUT USD 2025072           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-223.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250807                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $72.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1143.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                          | FRONTIER COMMUNICATIONS SR SECURED 144A 05/30 8.75       | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $104672.12    | 0.12%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9M3A0 PIMCO SWAPTION 4.037 PUT USD 2025071           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-43.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-285.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-801.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20251128                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-16155.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1ST 144A           | CUSIP: 078446AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     187680 | PA      | $49148.99     | 0.06%             | 2044-11-03      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $198.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 3 MONTH SOFR FUT  SEP25 XCME 20251216                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $-12950.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-66421.10    | -0.08%            |  |  |  | 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      | $-815.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-15.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $10190.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-29.85       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-5436.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-591.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-6997.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9N3A8 PIMCO SWAPTION 3.905 PUT USD 2025072           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-184.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | BARCLAYS PLC SR UNSECURED 01/26 4.375                    | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $299810.91    | 0.34%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-16032.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PLN BOUGHT USD 20250710                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-4229.64     | -0.00%            |  |  |  | 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      | $699.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                            | CANADIAN NATURAL RESOU 08/25 ZCP                         | CUSIP: 13638WV66<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $248779.00    | 0.29%             | 2025-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-603.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                         | HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 05/29 3.75    | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95924.42     | 0.11%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $628.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2         | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1698533 | PA      | $424667.27    | 0.49%             | 2036-12-25      | Floating      | 4.65%                 | 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        |    1766384 | PA      | $1648339.12   | 1.90%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-62.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $330.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 2A3          | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13976 | PA      | $12775.07     | 0.01%             | 2034-11-19      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  AUG25P 109 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -3 | NC      | $-93.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-SCHATZ FUT   SEP25 XEUR 20250908                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -6 | NC      | $1318.41      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 01/33 1.125                              | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1830611 | PA      | $1750093.35   | 2.01%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 08/25 0.00000                              | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $995636.44    | 1.15%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | BNP PARIBAS 144A 01/33 VAR                               | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $208182.04    | 0.24%             | 2033-01-13      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 3 MONTH SOFR FUT  JUN26 XCME 20260915                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $1924.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9JLA7 PIMCO SWAPTION 3.79 CALL USD 2025070           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1041.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1          | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18358 | PA      | $16860.07     | 0.02%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9LHA7 PIMCO SWAPTION 3.697 CALL USD 202507           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-674.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/32 5.454        | CUSIP: 86562MDT4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $207155.78    | 0.24%             | 2032-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -3 | NC      | $-1593.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $235.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250929                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2150.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-39388.28    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1486.68     | -0.00%            |  |  |  | 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      | $2156.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $10304.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250813                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $149.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3501.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                  | BARCLAYS PLC SR UNSECURED 11/33 VAR                      | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $227063.70    | 0.26%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD DOP BOUGHT USD 20250905                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $176.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                           | UNITED AIRLINES INC SR SECURED 144A 04/29 4.625          | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291406.56    | 0.34%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 3 MONTH SOFR FUT  DEC25 XCME 20260317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $-7450.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $17996.31     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                           | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C             | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9892 | PA      | $8252.46      | 0.01%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                      | TRIAXX PRIME CDO TRIAX 2007 1A A1D 144A                  | CUSIP: 896006AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      56092 | PA      | $555.43       | 0.00%             | 2039-10-02      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3127.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     300000 | NC      | $19357.65     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U7HTA5 PIMCO SWAPTION 3.75 CALL USD 2025103           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17100000 | NC      | $59164.29     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                   | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A       | CUSIP: 64830KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136381 | PA      | $133655.84    | 0.15%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CHF SOLD USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $320.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6621.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6QBA5 PIMCO FPPSWAPTION 3.808 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $22120.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1             | SECURITIZED ASSET BACKED RECEI SABR 2004 OP1 M1          | CUSIP: 81375WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60004 | PA      | $59696.07     | 0.07%             | 2034-02-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | ABX.HE.AAA.06-2 SP MYC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-31539.82    | -0.04%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                           | 317U9M4A9 PIMCO SWAPTION 3.637 CALL USD 202507           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-501.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.25000 06/18/25-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $166040.72    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | MORGAN STANLEY SR UNSECURED 01/31 VAR                    | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204792.83    | 0.24%             | 2031-01-15      | Floating      | 5.23%                 | 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      | $-2575.30     | -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      | $-1766.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5323.09     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20250903                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $23018.78     | 0.03%             |  |  |  | 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        |     100000 | PA      | $105747.58    | 0.12%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                   | BNP PARIBAS 144A 09/28 VAR                               | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $188805.78    | 0.22%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-278.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEL CORPORATION                                             | INTEL CORPORATION                                        | CUSIP: 45826CU16<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249968.28    | 0.29%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                  | ING GROEP NV ING GROEP NV                                | CUSIP: 456837BM4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $204873.47    | 0.24%             | 2035-03-19      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10922.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2716.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | CDX HY41 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-79814.64    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A         | CUSIP: 82639RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1161763 | PA      | $703403.10    | 0.81%             | 2039-09-07      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20250718                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $11.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/33 6.15           | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103057.12    | 0.12%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-852.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT EUR SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $7407.97      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20250818                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2457.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ABX.HE.AAA.06-2 SP BRC                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-26559.85    | -0.03%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                           | BOUGHT PLN SOLD USD 20250718                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2573.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $15.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1553.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TSY INFL IX N/B 07/34 1.875                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1840032 | PA      | $1842510.85   | 2.12%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2898.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                | GSAA HOME EQUITY TRUST GSAA 2006 10 AF3                  | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     855159 | PA      | $191317.70    | 0.22%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 AF5            | CUSIP: 126670TG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     205152 | PA      | $195599.27    | 0.23%             | 2036-07-25      | Variable      | 6.38%                 | 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      | $-2365.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-34900.30    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 A4              | CUSIP: 617451DR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92300 | PA      | $89670.43     | 0.10%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-13998.17    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250708                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-15.55       | -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        |     417400 | PA      | $413974.42    | 0.48%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-51.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250731                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $882.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-7227.81     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $131.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9EPA4 PIMCO SWAPTION 3.701 CALL USD 202506           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-133.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9EJA1 PIMCO SWAPTION 3.727 CALL USD 202506           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-703.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 5YR NOTE (CBT) SEP25 XCBT 20250930                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        320 | NC      | $341969.35    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14617.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9GEA1 PIMCO SWAPTION 4.075 PUT USD 2025070           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT AUD SOLD USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $4944.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT JPY SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2089.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-74422.88    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD DOP BOUGHT USD 20250711                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $49.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9580.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/28 4.95    | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     100000 | PA      | $100567.37    | 0.12%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)        | CBRE SVCS INC                                            | CUSIP: 12610BUA8<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249670.48    | 0.29%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-4                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 4 1A2          | CUSIP: 12667F6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     404278 | PA      | $279398.00    | 0.32%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20251103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1989.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR15                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR15 2A1        | CUSIP: 45669JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163508 | PA      | $115705.71    | 0.13%             | 2037-08-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                          | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25             | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101600.50    | 0.12%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT ILS SOLD USD 20250718                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $297.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1855996.97   | 2.14%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $317.35       | 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        |     293274 | PA      | $281805.64    | 0.32%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT GBP SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1297.88      | 0.00%             |  |  |  | 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        |    1440000 | PA      | $442007.85    | 0.51%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250710                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-437.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR ULTRA FUT SEP25 XCBT 20250919                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -116 | NC      | $-317408.48   | -0.37%            |  |  |  | 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      | $50498.49     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $14.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4         | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     477594 | PA      | $114391.05    | 0.13%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A            | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108453 | PA      | $92621.58     | 0.11%             | 2037-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9L4A1 PIMCO SWAPTION 3.6525 CALL USD 20250           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-435.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  AUG25P 108.5 EXP 07/25/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -1 | NC      | $-31.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                 | EGYPT GOVERNMENT BOND BONDS 03/28 21.954                 | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    6700000 | PA      | $133261.11    | 0.15%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $298.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $180.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $-400.50      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | 317U9FUA5 PIMCO SWAPTION 3.7 CALL USD 20250630           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-125.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC2                        | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A1             | CUSIP: 61749KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208042 | PA      | $189105.73    | 0.22%             | 2036-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250718                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1292.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2007-1                            | NOMURA HOME EQUITY LOAN INC NHELI 2007 1 1A4             | CUSIP: 65537KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1738159 | PA      | $486381.79    | 0.56%             | 2037-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9HNA9 PIMCO SWAPTION 3.669 CALL USD 202507           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-331.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3400000 | PA      | $3396964.34   | 3.91%             | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                   | STATE OF ISRAEL STATE OF ISRAEL                          | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $408489.48    | 0.47%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CAD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $2262.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $780.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250710                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $729.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1         | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60247 | PA      | $48054.61     | 0.06%             | 2036-06-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                   | MEXICAN UDIBONOS BONDS 12/26 3                           | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    8075805 | PA      | $421528.21    | 0.49%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $319.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                  | NIGERIA OMO BILL OMO120626                               | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   43993000 | PA      | $23273.63     | 0.03%             | 2026-06-12      | None          | 0.00%                 | 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        |    1400000 | PA      | $374113.20    | 0.43%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 01/28 VAR          | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $202764.14    | 0.23%             | 2028-01-05      | Floating      | 5.46%                 | 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      | $195789.21    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9GAA5 PIMCO SWAPTION 2.64 PUT EUR 20250703           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-123.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-87.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2588.54      | 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      | $-5668.49     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20250723                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6330.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20250723                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-10890.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $219.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CAD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-3854.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  AUG25C 112.7 EXP 07/25/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -1 | NC      | $-437.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9EKA9 PIMCO SWAPTION 2.36 PUT EUR 20250630           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS COP IBR/8.75000 06/25/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $-656.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250922                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4983.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6LIA9 PIMCO FPPSWAPTION 3.8 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IE        |    1000000 | NC      | $44007.50     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-564.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                          | JPMORGAN CHASE + CO SR UNSECURED 07/29 VAR               | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205382.29    | 0.24%             | 2029-07-24      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6610.98     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14763.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 13A1         | CUSIP: 07384M2C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243709 | PA      | $216919.50    | 0.25%             | 2034-11-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A            | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282772 | PA      | $254369.04    | 0.29%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-13636.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1223.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3558.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1324.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $268.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                          | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102027.57    | 0.12%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | US TREASURY N/B 11/34 4.25                               | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3700000 | PA      | $3713296.88   | 4.27%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD MXN BOUGHT USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-9055.16     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                             | CAPITAL ONE FINANCIAL CO SUBORDINATED 01/36 VAR          | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101850.04    | 0.12%             | 2036-01-30      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/1.87400 09/19/23-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $112136.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE COMMERCIAL MORTGAGE 2006-1A      | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 1A A 144A       | CUSIP: 149837AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341902 | PA      | $275259.79    | 0.32%             | 2038-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $41.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-270.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250729                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $457.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3511.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3219.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $619.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9EOA5 PIMCO SWAPTION 4.101 PUT USD 2025063           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-235.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 15A1        | CUSIP: 07384M4G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2137 | PA      | $2135.14      | 0.00%             | 2035-01-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $177.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8568.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                           | DOMINION ENERGY INC SR UNSECURED 06/30 5                 | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |      50000 | PA      | $51047.82     | 0.06%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | GENERAL ELECTRIC COMPANY SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3624.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-426.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT GBP SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $5658.65      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $58.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                            | TREASURY BILL 09/25 0.00000                              | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1586452.80   | 1.83%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                   | NATIONWIDE BLDG SOCIETY 144A 03/29 VAR                   | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $497081.39    | 0.57%             | 2029-03-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1250.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250710                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-851.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST             | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8      | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     194176 | PA      | $194497.46    | 0.22%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $322.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $658.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR           | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     400000 | PA      | $394482.46    | 0.45%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RVPO STATE STREET GLOBAL MARKE USD RVPO FICC SSGM        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    4000000 | PA      | $4000000.00   | 4.60%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-15519.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-2108.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20250708                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $982.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20250723                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6490.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-176             | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 176 FW           | CUSIP: 38382LKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102901 | PA      | $93360.26     | 0.11%             | 2050-11-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-321.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD NZD BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-486.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.80000 07/14/34-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3406.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9O3A6 PIMCO SWAPTION 3.545 CALL USD 202507           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-373.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4158.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.75000 12/18/24-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14778.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1158.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250724                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $448.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 10.7684 04/19/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-188372.12   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-12714.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3            | CUSIP: 12668UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909198 | PA      | $803387.25    | 0.92%             | 2047-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-12337.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.53000 04/23/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $536.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6RUA2 PIMCO SWAPTION 3.25 CALL USD 2025080           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -15300000 | NC      | $-1614.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1303.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  AUG25C 112 EXP 07/25/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -1 | NC      | $-750.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD IDR BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $387.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT JPY SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $259.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                          | THAMES SSNM 144A UNFUNDED COMM                           | CUSIP: 955RVLII8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       5084 | PA      | $6524.95      | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-70940.71    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9JKA8 PIMCO SWAPTION 4.14 PUT USD 20250709           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-1.17        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/28 4.9      | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201482.52    | 0.23%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | CDX ITRAXX XOV43 5Y ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $20060.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                               | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95            | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98007.96     | 0.11%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                 | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201652.01    | 0.23%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3715.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/1.84200 09/19/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $75553.48     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SEK BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-115.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1997.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 1A4B          | CUSIP: 25151YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236430 | PA      | $191778.73    | 0.22%             | 2037-08-25      | Floating      | 5.09%                 | 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        |     100000 | PA      | $102883.10    | 0.12%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 13.175 06/24/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $7649.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | EURO-BUND FUTURE  SEP25 XEUR 20250908                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -7 | NC      | $8449.77      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1081.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $49.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-23327.39    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8            | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   11500000 | PA      | $638777.38    | 0.73%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $0.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2428.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250908                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-17314.14    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                      | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A      | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120997 | PA      | $101161.46    | 0.12%             | 2042-05-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5218.11     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250724                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $251.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $224.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US LONG BOND(CBT) SEP25 XCBT 20250919                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -5 | NC      | $-15710.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $41.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | LONG GILT FUTURE  SEP25 IFLL 20250926                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          6 | NC      | $13335.48     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $523.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.25000 09/17/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-120936.45   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U7HVA2 PIMCO SWAPTION 2.83 CALL USD 2025103           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17100000 | NC      | $-10058.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $1890349.27   | 2.18%             | 2054-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250918                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-12448.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA                                        | JP MORGAN CHASE BANK NA SR UNSECURED 12/26 5.11          | CUSIP: 48125LRU8<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |     250000 | PA      | $253242.85    | 0.29%             | 2026-12-08      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                             | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $202047.92    | 0.23%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | JPN 10Y BOND(OSE) SEP25 XOSE 20250912                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -4 | NC      | $-11520.57    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                           | IRS EUR 2.25000 09/17/25-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-875.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR             | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196998.36    | 0.23%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/30 4.625          | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $99519.89     | 0.11%             | 2030-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11653.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250825                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-7054.05     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $803.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U7HUA3 PIMCO SWAPTION 3.29 CALL USD 2025103           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17100000 | NC      | $-23762.16    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20250723                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2909.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750QMB2 PIMCO CDSOPT PUT USD 0.9 20250716              | CUSIP: OP0043WK0<br>LEI: N/A                  | N/A              | DCR              |  | US        |    -100000 | NC      | $-6.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT BRL SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $17060.74     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                          | BLUE OWL FINANCE LLC COMPANY GUAR 04/34 6.25             | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102950.94    | 0.12%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD INR BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-172.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-7400.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                          | CARNIVAL CORPORATION 2025 TERM LOAN 2027                 | CUSIP: P2121YAX6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | US        |      38258 | PA      | $38353.29     | 0.04%             | 2027-08-08      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                           | ASHTEAD CAPITAL INC COMPANY GUAR 144A 10/33 5.95         | CUSIP: 045054AR4<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     200000 | PA      | $207276.25    | 0.24%             | 2033-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                         | HOLCIM FIN US LLC 07/25 ZCP                              | CUSIP: 43475FUG5<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249488.20    | 0.29%             | 2025-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CAD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-946.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 2A1A        | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14812 | PA      | $15070.74     | 0.02%             | 2045-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SGD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $13.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 31750QN88 PIMCO CDSOPT PUT USD 0.85 20250716             | CUSIP: OP00442S4<br>LEI: N/A                  | N/A              | DCR              |  | US        |    -200000 | NC      | $-14.34       | -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      | $-4326.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    2216724 | PA      | $21584238.98  | 24.83%            |  |  |  | No            |                  1 | On Loan: No      |
| NISSAN MOTOR CO LTD                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345            | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $480347.10    | 0.55%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                    | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                      | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  100000000 | PA      | $657553.56    | 0.76%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                         | CROWN CASTLE                                             | CUSIP: 22823PUQ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249165.70    | 0.29%             | 2025-07-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9ELA8 PIMCO SWAPTION 2.1 CALL EUR 20250630           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-34948.06    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/4.10000 02/10/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11714.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A1             | CUSIP: 88522WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11304 | PA      | $10497.18     | 0.01%             | 2037-06-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-805.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9L3A2 PIMCO SWAPTION 4.0525 PUT USD 202507           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-14.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 14.02 05/21/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $2043.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                       | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 10.75         | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   11900000 | PA      | $206830.85    | 0.24%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 04/28 VAR           | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100818.18    | 0.12%             | 2028-04-23      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR2                             | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 1A1A              | CUSIP: 23332QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268141 | PA      | $241705.83    | 0.28%             | 2036-10-19      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 11.5661 06/18/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-76126.53    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1087.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1316.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT KRW SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $843.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-9728.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-17.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                                           | WELLS FARGO BANK NA WELLS FARGO BANK NA                  | CUSIP: 94988J6F9<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202944.59    | 0.23%             | 2026-12-11      | Fixed         | 5.25%                 | 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      | $-1498.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                | MORGAN STANLEY SR UNSECURED 02/29 VAR                    | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $203536.74    | 0.23%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 1A1           | CUSIP: 05952DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248474 | PA      | $238563.50    | 0.27%             | 2047-02-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                   | LETRA TESOURO NACIONAL BILLS 10/25 0.00000               | CUSIP: ACI2HDVK6<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   17073000 | PA      | $3031082.59   | 3.49%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $26.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9JQA2 PIMCO SWAPTION 3.77 CALL USD 2025070           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-913.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD EUR BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3952.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD DOP BOUGHT USD 20250721                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1733.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-109707.37   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                          | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR               | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195494.94    | 0.22%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $85.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C             | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129561 | PA      | $61557.17     | 0.07%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1649.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                         | GEORGIA POWER CO SR UNSECURED 05/32 4.7                  | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100056.49    | 0.12%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-0.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-198.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $458.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD ZAR BOUGHT USD 20250723                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6330.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250709                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-643.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT IDR SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $228.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TWD SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1226.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                            | THAMES WATER UTIL FIN SR SECURED REGS 07/36 4.375        | CUSIP: B839Q3II7<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $90201.96     | 0.10%             | 2036-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                   | REPUBLIC OF TURKIYE REPUBLIC OF TURKIYE                  | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $205202.76    | 0.24%             | 2034-05-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD BRL BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-21373.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250808                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2695.18      | 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        |      40000 | PA      | $38039.98     | 0.04%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-8.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9EIA2 PIMCO SWAPTION 4.127 PUT USD 2025063           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-0.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | IRS EUR 2.22000 01/08/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3766.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250804                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-779.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD THB BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1806.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT MXN SOLD USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | GOLDMAN SACHS GROUP INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $341.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DESIGNATED ACTIVITY COMPANY                  | FLUTTER TREASURY DAC SR SECURED 144A 06/31 6.125         | CUSIP: ACI2XD3H6<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |     100000 | PA      | $138501.84    | 0.16%             | 2031-06-04      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U9MKA1 PIMCO SWAPTION 3.7 CALL USD 20250721           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1546.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A            | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189170 | PA      | $173507.51    | 0.20%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                   | UNITED MEXICAN STATES SR UNSECURED 02/35 6.35            | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $205120.00    | 0.24%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2019.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 04/29 VAR            | CUSIP: 606822CY8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $204646.16    | 0.24%             | 2029-04-19      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                         | WELLS FARGO + COMPANY SR UNSECURED REGS 02/27 1          | CUSIP: U94974HN2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     100000 | PA      | $115218.16    | 0.13%             | 2027-02-02      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                       | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05    | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201200.82    | 0.23%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-161.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | ZCS BRL 13.2914 05/08/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $1381.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-12616.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                         | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5                | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     340154 | PA      | $334700.17    | 0.39%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.89900 03/11/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1713.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/1.75000 12/21/22-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $268508.31    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-567.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | 317U6QAA6 PIMCO FPPSWAPTION 3.808 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $38978.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5       | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1          | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     329271 | PA      | $244826.78    | 0.28%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-14108.49    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT THB SOLD USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $378.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT INR SOLD USD 20250707                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $63.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-G                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 G 1A1           | CUSIP: 05950MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199910 | PA      | $199111.98    | 0.23%             | 2036-07-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7            | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   21800000 | PA      | $1132830.39   | 1.30%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4      | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A     | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     155488 | PA      | $155867.78    | 0.18%             | 2036-11-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD JPY BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $16.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11 | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1       | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93625 | PA      | $46207.54     | 0.05%             | 2036-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-13339.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-134.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                             | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 1A1        | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349616 | PA      | $136761.46    | 0.16%             | 2037-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-13.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD PEN BOUGHT USD 20250730                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1711.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT SEK SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-1.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1241.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                    | ABBVIE INC ABBVIE INC                                    | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205389.84    | 0.24%             | 2031-03-15      | Fixed         | 4.95%                 | 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      | $40348.48     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA5                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA5 2A1         | CUSIP: 749236AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     516723 | PA      | $344123.89    | 0.40%             | 2037-09-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                    | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                    | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   49000000 | PA      | $273614.67    | 0.31%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                  | UBS GROUP AG SR UNSECURED REGS 03/29 VAR                 | CUSIP: ACI2B33K5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $265512.14    | 0.31%             | 2029-03-01      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875        | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    7400000 | PA      | $390315.39    | 0.45%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD MXN BOUGHT USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1725.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA1                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1         | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36466 | PA      | $36509.59     | 0.04%             | 2034-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD GBP BOUGHT USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4096.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT TRY SOLD USD 20250814                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1776.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                   | PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     100000 | PA      | $90497.52     | 0.10%             | 2031-01-28      | Fixed         | 5.95%                 | 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      | $-56573.37    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F020687<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2200000 | PA      | $-1742771.47  | -2.01%            | 2054-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/1.99850 07/03/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21384.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT CNH SOLD USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $291.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD KRW BOUGHT USD 20250708                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-304.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFR USD SOFR/3.93000 03/24/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-992.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR FUT OPTN  AUG25P 110.2 EXP 07/25/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -1 | NC      | $-125.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 1A5          | CUSIP: 93934FBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166094 | PA      | $143716.34    | 0.17%             | 2035-09-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT PEN SOLD USD 20250917                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1542.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD CNH BOUGHT USD 20250820                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-368.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                        | CVS CORPORATION 07/25 ZCP                                | CUSIP: 12665JUE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249522.38    | 0.29%             | 2025-07-14      | 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        |       2642 | PA      | $3997.79      | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | BOUGHT NZD SOLD USD 20250702                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $286.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | RFRF USD SOFR/2.06000 10/27/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37125.93     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD TWD BOUGHT USD 20250716                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-12998.38    | -0.01%            |  |  |  | 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        |   60000000 | PA      | $374545.33    | 0.43%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | SOLD SGD BOUGHT USD 20250805                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-14.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                              | VIRGIN MEDIA SECURED FIN SR SECURED REGS 05/29 5.25      | CUSIP: ACI1BWMH9<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $132760.96    | 0.15%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                           | US 10YR NOTE (CBT)SEP25 XCBT 20250919                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -24 | NC      | $-38283.60    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer