# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003044
**Filing Date:** 2026-3
**Character Count:** 477828
**Document Hash:** 37e4225b4203a95bde2f2104811f27cc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003044.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003044

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705853

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Variable Insurance Trust

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO International Bond Portfolio (U.S. Dollar-Hedged)

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1279809478.00

**Total Liabilities:** $734992234.56

**Net Assets:** $544817243.44

**Cash Not Reported:** $9041447.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -11450.828200 | **1-Year:** 57800.664900 | **5-Year:** 165134.120900 | **10-Year:** 93142.598100 | **30-Year:** 16379.704400

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

- **3-Month:** 373.733200 | **1-Year:** 1596.627600 | **5-Year:** 10197.869200 | **10-Year:** 2931.645700 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026495 | 1.18%                | -0.18%               | -0.01%               |
| Class ID C000139585 | 1.17%                | -0.19%               | -0.02%               |
| Class ID C000026496 | 1.19%                | -0.17%               | 0.00%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1280872.03             | $-220544.55                                |
| Month 2  | $-4274096.27             | $3894739.19                                |
| Month 3  | $745370.71               | $929160.72                                 |

**Designated Index Information**

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

- **Index Identifier:** LG38TRUH

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                        | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A       | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1179962 | PA      | $1180612.86   | 0.22%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3748.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF10                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1           | CUSIP: 32028HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     362655 | PA      | $349599.04    | 0.06%             | 2036-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/54 4.5                                 | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12300000 | PA      | $11605242.13  | 2.13%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | LONG GILT FUTURE  MAR26 IFLL 20260327                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        262 | NC      | $265273.67    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-771357.34   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                     | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 2A4             | CUSIP: 92977YBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10870 | PA      | $10646.53     | 0.00%             | 2035-10-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-67243.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-14973.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3               | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1            | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     421959 | PA      | $330491.80    | 0.06%             | 2047-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/52 1.5            | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                             | CITIGROUP INC SR UNSECURED REGS 06/38 6.8                 | CUSIP: B3B27BII7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     300000 | PA      | $455662.79    | 0.08%             | 2038-06-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3100000 | PA      | $-2782371.12  | -0.51%            | 2056-02-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                   | SARANAC CLO LTD SRANC 2018 6A A1R 144A                    | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     177922 | PA      | $178021.19    | 0.03%             | 2031-08-13      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5357.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5                     | CUSIP: ACI0PP6W6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  202000000 | PA      | $796883.81    | 0.15%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.25000 09/21/22-20Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-385959.89   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 07/31 VAR               | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89859.55     | 0.02%             | 2031-07-23      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2349.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 12/53 1.75                      | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     910000 | PA      | $425811.57    | 0.08%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-67696.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1954.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8001.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-9522.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-33.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                               | REPUBLIC OF SERBIA SR UNSECURED 144A 06/34 6              | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     700000 | PA      | $725582.52    | 0.13%             | 2034-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $61638.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 09/54 2.19                    | CUSIP: BRT57JII1<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   20000000 | PA      | $2759786.21   | 0.51%             | 2054-09-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-296274.36   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 09/40 0.4                     | CUSIP: ACI1S9QC9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   70000000 | PA      | $328482.51    | 0.06%             | 2040-09-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3972 FN 07/50 FIXED VAR                       | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     422174 | PA      | $395437.69    | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260306                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $487.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA            | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205087 | PA      | $205887.14    | 0.04%             | 2066-06-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-64413.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-639.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-613.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $468.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                 | VMED O2 UK FINANCING I SR SECURED 144A 01/33 6.75         | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $297685.56    | 0.05%             | 2033-01-15      | Fixed         | 6.75%                 | 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        |     100000 | PA      | $29689.98     | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $507.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1386.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                  | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A            | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1503487 | PA      | $1315769.41   | 0.24%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         14 | PA      | $1.78         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 09/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $161516.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 09/31 5.125                     | CUSIP: ACI2RB4B9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $240666.86    | 0.04%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1796 FN 10/34 FIXED VAR                       | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54393 | PA      | $53657.86     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RW45 PIMCO FXVAN CALL USD BRL 5.70000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -1800000 | NC      | $-12787.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1294.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1          | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        587 | PA      | $575.63       | 0.00%             | 2030-12-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5557.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                    | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985962 | PA      | $898912.15    | 0.16%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RZN0 PIMCO FXVAN PUT USD KRW 1417.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    2132500 | NC      | $11231.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 12/50 0.7                     | CUSIP: BL6JRNII8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  160000000 | PA      | $571552.60    | 0.10%             | 2050-12-20      | Fixed         | 0.70%                 | 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        |   10500000 | PA      | $3564801.70   | 0.65%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $897.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     597000 | NC      | $332.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                              | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A      | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360385 | PA      | $301424.44    | 0.06%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9                 | COUNTRYWIDE HOME LOANS CWHL 2004 J9 2A5                   | CUSIP: 12669GFK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136395 | PA      | $138778.60    | 0.03%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RZQ3 PIMCO FXVAN PUT USD KRW 1419.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1366000 | NC      | $7902.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                | ONTARIO (PROVINCE OF) SR UNSECURED REGS 01/27 3.5         | CUSIP: ACI0S0LD3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1000000 | PA      | $660870.06    | 0.12%             | 2027-01-27      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.8468* 12/02/24-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6894.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-381.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 6A3              | CUSIP: 22942KBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     556853 | PA      | $383190.53    | 0.07%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $5928.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | REPUBLIC OF CHILE SR UNSECURED 01/29 4.85                 | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     600000 | PA      | $613890.00    | 0.11%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $99675.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3           | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361668 | PA      | $247689.31    | 0.05%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40528.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-546074.46   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $4253.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                            | COMMONWEALTH BANK AUST COVERED 144A 01/30 4.971           | CUSIP: 202712BW4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    4900000 | PA      | $5093269.48   | 0.93%             | 2030-01-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 03/28 2.125                     | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $462408.29    | 0.08%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 04/30 VAR                     | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1250569.15   | 0.23%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-174.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                    | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197634 | PA      | $180124.48    | 0.03%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $76520.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/45 4.125                    | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     800000 | PA      | $903841.61    | 0.17%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR               | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1333505.72   | 0.24%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RNL7 PIMCO FXVAN PUT EUR CZK 24.10000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1389000 | NC      | $5483.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOGETHER ASSET BACKED SECURITISATION 14 2025-1ST1 PLC 25-1ST1A            | TOGETHER ASSET BACKED SECURITI TOGET 2025 1ST1A A 144A    | CUSIP: ACI30HX54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     964091 | PA      | $1298767.27   | 0.24%             | 2066-08-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7368 G2 05/51 FIXED 3                      | CUSIP: 36179WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     401692 | PA      | $361652.89    | 0.07%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3059.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1496.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 09/44 1.8                     | CUSIP: ACI2RXB31<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  180000000 | PA      | $970522.22    | 0.18%             | 2044-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 1A2            | CUSIP: 17307GA57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68586 | PA      | $63693.41     | 0.01%             | 2035-09-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/45 4.875                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $202000.00    | 0.04%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     628000 | PA      | $622185.31    | 0.11%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXM4 PIMCO FXVAN PUT USD BRL 5.40000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     910000 | NC      | $5414.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                     | AIR LEASE CORP DISC COML 01/26 ZCP                        | CUSIP: 00913XA78<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1498824.60   | 0.28%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7188.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2           | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8909 | PA      | $8888.55      | 0.00%             | 2035-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                            | BULGARIA SR UNSECURED REGS 07/35 3.375                    | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     800000 | PA      | $924355.90    | 0.17%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $316.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0463 FN 03/60 FIXED 3                         | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     412816 | PA      | $361843.00    | 0.07%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300516                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5719.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-2839.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                     | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  498000000 | PA      | $1915665.86   | 0.35%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                                                       | BANK OF NEW ZEALAND COVERED REGS 12/28 3.7075             | CUSIP: ACI2GWZD7<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |    1572000 | PA      | $1908424.73   | 0.35%             | 2028-12-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14100000 | PA      | $12671824.25  | 2.33%             | 2055-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4071.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $8209.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | US 2YR NOTE (CBT) MAR26 XCBT 20260331                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -135 | NC      | $-23893.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                     | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A          | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1800000 | PA      | $2117164.38   | 0.39%             | 2036-08-29      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/34 4.375                               | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $613277.35    | 0.11%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.59900 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16085.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1923.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A            | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126512 | PA      | $100698.72    | 0.02%             | 2037-10-25      | Variable      | 5.01%                 | 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      | $-27590.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/1.7500 12/16/16-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-118428.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A        | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1168764 | PA      | $1169018.12   | 0.21%             | 2037-02-19      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                    | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9678860 | PA      | $8817885.42   | 1.62%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0334 FN 01/59 FIXED 3.5                       | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     746609 | PA      | $681662.85    | 0.13%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)         | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22          | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |     200000 | PA      | $241729.24    | 0.04%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-15558.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25            | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1200000 | PA      | $767497.92    | 0.14%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $254.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 04/30 VAR            | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     800000 | PA      | $835951.09    | 0.15%             | 2030-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $486280.75    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                    | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A             | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        229 | PA      | $227.93       | 0.00%             | 2031-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED REGS 01/33 VAR       | CUSIP: ACI2T8KF7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1411435.30   | 0.26%             | 2033-01-23      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| CHESHIRE 2025-1 PLC 2025-1                                                | CHESHIRE CHESH 2025 1 A REGS                              | CUSIP: ACI2ZPN69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1000000 | PA      | $1347674.18   | 0.25%             | 2048-06-28      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2379.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75     | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4800000 | PA      | $4904368.08   | 0.90%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                 | MAN GLG EURO CLO GLGE 5A A1R 144A                         | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     123508 | PA      | $145243.13    | 0.03%             | 2031-12-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                              | HUNGARY SR UNSECURED 144A 09/32 6.25                      | CUSIP: 445545AS5<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     300000 | PA      | $320524.30    | 0.06%             | 2032-09-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5175.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS3X                                             | RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS              | CUSIP: B1FJ01II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     194306 | PA      | $256195.67    | 0.05%             | 2044-06-12      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICA TREASURY BILL 7.93  13.05.2026               | CUSIP: ACI2X3D53<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    9500000 | PA      | $561105.92    | 0.10%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-328.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-17717.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $16115.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 01/41 5.25                 | CUSIP: ACI313VK3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1200000 | PA      | $1670547.42   | 0.31%             | 2041-01-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4           | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2850000 | PA      | $3360037.79   | 0.62%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2             | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    4100000 | PA      | $2250224.90   | 0.41%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $5815.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                       | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/26 FIXED 2.158   | CUSIP: 38122NC59<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     600000 | PA      | $595159.80    | 0.11%             | 2026-06-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2527.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $3549.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/26 5                         | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     514000 | PA      | $615523.76    | 0.11%             | 2026-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-10960.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 12/33 3.25                      | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5300000 | PA      | $3856305.91   | 0.71%             | 2033-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                            | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                    | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1548 | PA      | $1488.48      | 0.00%             | 2034-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1300000 | PA      | $-1317060.19  | -0.24%            | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1                             | STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4             | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547944 | PA      | $522174.65    | 0.10%             | 2036-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     264000 | PA      | $261187.31    | 0.05%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8655.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/49 2.25                                | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $815648.44    | 0.15%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 01/30 VAR              | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1236056.26   | 0.23%             | 2030-01-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 3A1                  | CUSIP: 36242DH89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25767 | PA      | $26064.17     | 0.00%             | 2035-04-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.06350 11/17/22-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $414255.71    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-925.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $7503.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $99.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6582.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13005.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR1297 FN 02/51 FIXED 2.5                       | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128492 | PA      | $109512.19    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-5987.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080414 G2 06/30 FLOATING VAR                 | CUSIP: 36225CN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        224 | PA      | $223.69       | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8          | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $180770.06    | 0.03%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $20653.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-17585.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $17559.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1           | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260540 | PA      | $170872.23    | 0.03%             | 2037-01-25      | Floating      | 4.13%                 | 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        |     336195 | PA      | $315513.92    | 0.06%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-1168.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                   | FREDDIE MAC FHR 4579 FD                                   | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71247 | PA      | $70325.18     | 0.01%             | 2038-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG4720 FR 06/53 FIXED 5.5               | CUSIP: 3133C5G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     870740 | PA      | $885153.29    | 0.16%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A         | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14642 | PA      | $14710.91     | 0.00%             | 2045-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $4350.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $409.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3910 FN 11/30 FIXED VAR                       | CUSIP: 3140J8KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28367 | PA      | $28202.68     | 0.01%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-15877.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-34118.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2164.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75     | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    1600000 | PA      | $1622616.29   | 0.30%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 01/36 VAR                | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1359468.07   | 0.25%             | 2036-01-24      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85961 12/02/24-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12511.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2610                                                          | FREDDIE MAC FHR 2610 FD                                   | CUSIP: 31393QX80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1090 | PA      | $1088.55      | 0.00%             | 2032-12-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                    | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A            | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     587911 | PA      | $588631.84    | 0.11%             | 2031-06-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.96415 02/12/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20733.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5            | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114046 | PA      | $113177.74    | 0.02%             | 2035-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $959.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-30986.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20052.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1722.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7828 G2 01/52 FIXED 3                      | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     940706 | PA      | $847659.23    | 0.16%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 03/30 5.25                      | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $491938.72    | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $23.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5            | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.87         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6          | CUSIP: 17307GUW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     933269 | PA      | $906259.58    | 0.17%             | 2035-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR            | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1485247.51   | 0.27%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A        | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     677331 | PA      | $684213.05    | 0.13%             | 2055-02-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  FEB26P 112 EXP 01/23/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -8 | NC      | $-2535.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-81627.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-587989.14   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-55196.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                           | GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1                   | CUSIP: 36242DPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3968 | PA      | $3767.73      | 0.00%             | 2034-12-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $629.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1238.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A    | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1010695 | PA      | $913434.38    | 0.17%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A       | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1292882.61   | 0.24%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-61321.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1486.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2418.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-136870.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $128412.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260220                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8851.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $4567.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260113                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $1035.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3243 FN 02/50 FIXED VAR                       | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     211984 | PA      | $198318.55    | 0.04%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                              | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/35 5        | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     200000 | PA      | $203354.34    | 0.04%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A       | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     712263 | PA      | $712919.25    | 0.13%             | 2038-04-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-5655.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                    | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4         | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     253918 | PA      | $235376.35    | 0.04%             | 2036-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1          | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17273 | PA      | $15052.92     | 0.00%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) MAR26 XCBT 20260331                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        181 | NC      | $-19307.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 01/32 2                         | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $100545.41    | 0.02%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                       | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329              | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $491346.51    | 0.09%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR              | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1618089.86   | 0.30%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-77018.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBC0A2 PIMCO SWAPTION 3.919 PUT USD 2026011            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-637.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 10/30 VAR                     | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     400000 | PA      | $404927.76    | 0.07%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $15618.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BOA                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $23568.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RW60 PIMCO FXVAN PUT USD BRL 5.16000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1800000 | NC      | $-603.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3169.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RFD4 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     562000 | NC      | $2821.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 1.91250 01/30/19-10Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-33122.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                   | MANHATTAN WEST OMW 2020 1MW A 144A                        | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1347538.50   | 0.25%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1612.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S451 PIMCO FXVAN PUT EUR CZK 23.90000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     940000 | NC      | $2978.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5               | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114935 | PA      | $110409.81    | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/55 4.625                               | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5700000 | PA      | $5492039.03   | 1.01%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-239975.97   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RZK6 PIMCO FXVAN PUT USD KRW 1382.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -2132500 | NC      | $-3215.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3531.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.72250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $-1800.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8734.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-42025.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                           | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10438 | PA      | $5573.92      | 0.00%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25           | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     400000 | PA      | $392855.12    | 0.07%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16341.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3           | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40978 | PA      | $37044.40     | 0.01%             | 2047-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-2 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2020 2A ARR 144A       | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1600803.14   | 0.29%             | 2034-07-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                                       | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 M2             | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87666 | PA      | $76963.24     | 0.01%             | 2032-12-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER 02/26 ZCP                         | CUSIP: 40412DB40<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249007.93    | 0.05%             | 2026-02-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-42569.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBEWA3 PIMCO SWAPTION 3.882 PUT USD 2026012            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-9464.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $8795.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000                 | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4900000 | PA      | $287593.90    | 0.05%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1             | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        560 | PA      | $571.05       | 0.00%             | 2035-09-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $6104.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1304.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICA TREASURY BILL 7.99  06.05.2026               | CUSIP: ACI2WXR79<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   30800000 | PA      | $1821420.57   | 0.33%             | 2026-05-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2508.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                    | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4448865 | PA      | $4052064.58   | 0.74%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22368.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                           | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1                | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45744 | PA      | $37377.62     | 0.01%             | 2036-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1194.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG45 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $655431.71    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-769.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F             | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126455 | PA      | $126990.15    | 0.02%             | 2066-11-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-50.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RZR1 PIMCO FXVAN PUT USD KRW 1383.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1366000 | NC      | $-2215.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1696.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9907.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1899.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5023.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.1800 11/25/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-45598.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/50 1                  | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.81         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                            | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75        | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      50000 | PA      | $17070.48     | 0.00%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBC2A0 PIMCO SWAPTION 3.639 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-407.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA0866 FN 09/53 FIXED 5.5                       | CUSIP: 3140A06C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312461 | PA      | $317866.56    | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3481.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED REGS 05/29 0.875     | CUSIP: ACI21KTC8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     800000 | PA      | $883064.17    | 0.16%             | 2029-05-09      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 12/20/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $332311.73    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                     | AIR LEASE CORP DISC COML 01/26 ZCP                        | CUSIP: 00913XA29<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249944.53    | 0.05%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1         | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24432 | PA      | $23180.36     | 0.00%             | 2046-03-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $204.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.2500 09/14/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-95489.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-35.65 CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $336637.98    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                       | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75               | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |    3300000 | PA      | $3826853.85   | 0.70%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $459.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7197 FN 07/53 FIXED 5.5                       | CUSIP: 3140QS7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5718828 | PA      | $5818765.17   | 1.07%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40309.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-14139.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRS SOFRINDX/IBOXIG INDX 03/20/26 BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-42772.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5               | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     386096 | PA      | $327787.34    | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                        | FANNIE MAE FNR 2004 63 FA                                 | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $152.58       | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1          | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285049 | PA      | $234842.84    | 0.04%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2945.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                        | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A          | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1201400 | PA      | $1203652.42   | 0.22%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                | PACIFICORP 1ST MORTGAGE 02/31 5.3                         | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     600000 | PA      | $618047.68    | 0.11%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2811.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-3432.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375    | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     600000 | PA      | $709033.41    | 0.13%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-461.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 06/32 3.775         | CUSIP: B75489II5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   38570000 | PA      | $1405806.41   | 0.26%             | 2032-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1          | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18701 | PA      | $14839.72     | 0.00%             | 2037-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-4908.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1072.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.97500 03/21/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10798.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   70300000 | PA      | $73077834.90  | 13.41%            | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 07/53 1.5                  | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1100000 | PA      | $682670.88    | 0.13%             | 2053-07-31      | Fixed         | 1.50%                 | 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      | $-30868.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20261221                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6014.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/1.25000 03/18/26-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $44231.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-9903.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                          | FREDDIE MAC FHR 3397 FC                                   | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1797 | PA      | $1795.12      | 0.00%             | 2037-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                    | CARVAL CLO LTD CARVL 2018 1A AR 144A                      | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     391416 | PA      | $391616.66    | 0.07%             | 2031-07-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.39         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 06/18/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-17424.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 1                   | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC7 A2          | CUSIP: 76112BR85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     579144 | PA      | $489464.90    | 0.09%             | 2035-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10800000 | PA      | $-10001812.50 | -1.84%            | 2040-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $21190.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A          | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179888 | PA      | $167041.15    | 0.03%             | 2046-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                             | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3       | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      64160 | PA      | $61423.61     | 0.01%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 03/26 0.00000                               | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     679000 | PA      | $673187.41    | 0.12%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $172.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A         | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12788 | PA      | $12128.41     | 0.00%             | 2046-06-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22037.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $71.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $69765.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                           | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1                 | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9707 | PA      | $9243.01      | 0.00%             | 2034-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $6785.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NZD 2.50000 03/12/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $59650.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2023-V3                                       | TOWD POINT MORTGAGE FUNDING TPMF 2023 V3 A1 REGS          | CUSIP: ACI2P2371<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     947115 | PA      | $1281341.37   | 0.24%             | 2054-02-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.21300 03/12/40-15Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1296399.53   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 02/20/24-25Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31208.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                          | NEW ZEALAND GOVERNMENT UNSECURED 05/31 1.5                | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     400000 | PA      | $203840.83    | 0.04%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-145446.17   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2717.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7888.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                | SANTANDER HOLDINGS USA SR UNSECURED 05/27 VAR             | CUSIP: 80282KBK1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     600000 | PA      | $604169.65    | 0.11%             | 2027-05-31      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-173.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10735.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7175.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 713701 FN 08/33 FIXED 4.5                       | CUSIP: 31401N3J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87014 | PA      | $86541.81     | 0.02%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-OAT FUTURE   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -115 | NC      | $150907.43    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4           | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7737 | PA      | $7550.39      | 0.00%             | 2036-06-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2156347.68   | 0.40%             | 2056-02-19      | Fixed         | 2.50%                 | 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        |     192237 | PA      | $176470.48    | 0.03%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $10595.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1             | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2986 | PA      | $2632.41      | 0.00%             | 2047-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-33.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5                | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RZJ9 PIMCO FXVAN PUT USD KRW 1419.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    2132500 | NC      | $12020.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                 | MITSUBISHI UFJ FIN GRP SR UNSECURED 04/30 VAR             | CUSIP: 606822DE1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    2000000 | PA      | $2061462.98   | 0.38%             | 2030-04-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                  | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A        | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     806548 | PA      | $1088209.61   | 0.20%             | 2053-07-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR              | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     900000 | PA      | $951183.24    | 0.17%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                 | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A1 144A      | CUSIP: 75585RRT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |      64100 | PA      | $46527.54     | 0.01%             | 2055-02-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/18/26-5Y CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-4006.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-175441.41   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.06500 06/26/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12129.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 3.75000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-38890.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $3644.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                  | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     800000 | PA      | $795791.75    | 0.15%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2         | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50590 | PA      | $34155.72     | 0.01%             | 2037-06-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $2523.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $18099.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R USSOFR/JPYMUTKCALM-31.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $721.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260521                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-138.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR4                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5           | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6047 | PA      | $5876.04      | 0.00%             | 2035-04-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    4099213 | PA      | $525793.59    | 0.10%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/28 0.5                                 | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7920120 | PA      | $7782361.63   | 1.43%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3         | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2746 | PA      | $2052.17      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                   | FREDDIE MAC FHR 4579 SD                                   | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71247 | PA      | $3615.99      | 0.00%             | 2038-01-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $61501.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A           | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23915 | PA      | $22507.02     | 0.00%             | 2037-07-27      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1                | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9312 | PA      | $7074.94      | 0.00%             | 2035-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                  | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375        | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     300000 | PA      | $313997.10    | 0.06%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $68807.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A       | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1639252.54   | 0.30%             | 2038-12-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1           | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230739 | PA      | $47333.68     | 0.01%             | 2046-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                      | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75     | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    4900000 | PA      | $2535210.06   | 0.47%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3146.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260320                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4306.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $362.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $6888.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                    | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   26200000 | PA      | $1618039.86   | 0.30%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 02/28 0.75               | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5700000 | PA      | $6482005.93   | 1.19%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4831.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $10957.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5           | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2309 | PA      | $2289.94      | 0.00%             | 2033-03-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 01/34 2.63               | CUSIP: ACI2MPQS2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |   97210000 | PA      | $14567971.85  | 2.67%             | 2034-01-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.53200 08/20/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6140.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6            | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     967199 | PA      | $305522.35    | 0.06%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1292444.22   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260323                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2843.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $47137.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 07/31 2.124                     | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $103150.83    | 0.02%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93000 06/25/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $41184.60     | 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        |   52300000 | PA      | $268164.38    | 0.05%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD RON BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-188.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1             | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97007.26     | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 07/50 1.5                    | CUSIP: BD9H2PII9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2050-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.88500 07/12/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-32302.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC            | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2599 | PA      | $2502.53      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $326.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $230.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 03/18/26-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-214067.48   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         10 | PA      | $1.06         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/49 2.375                               | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $449804.68    | 0.08%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-102.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -312000 | NC      | $-103.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND BONDS 02/30 4.875                      | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     400000 | PA      | $412461.82    | 0.08%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 02/34 3.75                      | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     600000 | PA      | $635877.21    | 0.12%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080187 G2 04/28 FLOATING VAR                 | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $38.88        | 0.00%             | 2028-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-392.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/1.9000 12/18/19-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-154188.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA UNSECURED 144A 04/33 2                            | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $478218.26    | 0.09%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $3142.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A                 | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $801455.26    | 0.15%             | 2034-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A        | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7037 | PA      | $6639.27      | 0.00%             | 2035-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2656.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                       | INTESA SANPAOLO SPA 144A 11/33 VAR                        | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     700000 | PA      | $826907.92    | 0.15%             | 2033-11-21      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR               | CUSIP: 06051GMP1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1601294.83   | 0.29%             | 2031-01-24      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                     | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  428000000 | PA      | $1543439.48   | 0.28%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-5148.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                           | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A           | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1383959 | PA      | $1384924.72   | 0.25%             | 2033-01-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-41733.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS INR MIBOR/5.75000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $7293.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                        | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/30 4.35     | CUSIP: 86563VCF4<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    1000000 | PA      | $1005390.75   | 0.18%             | 2030-09-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                 | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5      | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    3000000 | PA      | $3059520.00   | 0.56%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $1503.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                   | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     343316 | PA      | $403672.30    | 0.07%             | 2031-04-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 06/20/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7288.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 03/29 4                         | CUSIP: 135087Q98<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1600000 | PA      | $1208814.78   | 0.22%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $72606.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3   | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    4210000 | PA      | $4913255.67   | 0.90%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $3316.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-89.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A              | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152348 | PA      | $141366.89    | 0.03%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-1766378.76  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                              | BRISTOL MYERS SQUIBB CO SR UNSECURED 02/34 5.2            | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     600000 | PA      | $623936.29    | 0.11%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-53470.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                            | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                   | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2133 | PA      | $2039.37      | 0.00%             | 2035-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-796.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-94.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5526.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $9445.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7988 G2 04/52 FIXED 3                      | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1992735 | PA      | $1794106.38   | 0.33%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2401.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV1 A3B 144A    | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1484745 | PA      | $1305815.15   | 0.24%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $228.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25       | CUSIP: BNDC0SII9<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    2300000 | PA      | $1256074.22   | 0.23%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | BUONI POLIENNALI DEL TES SR UNSECURED REGS 08/27 2.1      | CUSIP: ACI2Y9764<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    2700000 | PA      | $3168915.02   | 0.58%             | 2027-08-26      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1081.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  535000000 | PA      | $338947.27    | 0.06%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 09/30 VAR                  | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     700000 | PA      | $731453.09    | 0.13%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $30178.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 03/19/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $421780.42    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-40479.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A             | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213463 | PA      | $200569.33    | 0.04%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RW52 PIMCO FXVAN PUT USD BRL 5.41000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1800000 | NC      | $11790.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                   | FREDDIE MAC FHR 5513 MF                                   | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1703243 | PA      | $1710529.42   | 0.31%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                             | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                    | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8836 | PA      | $7869.38      | 0.00%             | 2035-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.83603 12/02/24-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10101.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                 | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625        | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    1600000 | PA      | $1896709.17   | 0.35%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.2500 03/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-46482.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-240.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290503                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $14541.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-5696.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 04/28 VAR                     | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2008710.78   | 0.37%             | 2028-04-13      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                      | EUROSAIL PLC ESAIL 2007 3X A3A REGS                       | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      66586 | PA      | $89767.05     | 0.02%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.86500 05/15/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9295.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9              | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3400000 | PA      | $1058844.43   | 0.19%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 12/29 1.375                     | CUSIP: ACI1T3QY3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     140000 | PA      | $151283.49    | 0.03%             | 2029-12-02      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8706.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-47030.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.0000 03/18/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-43613.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.0500 12/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-238904.65   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-131257.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/29 6.625                     | CUSIP: ACI28T967<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $385704.16    | 0.07%             | 2029-09-27      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/35 4.25                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $201468.75    | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $9382.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S543 PIMCO FXVAN PUT EUR HUF 375.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     876000 | NC      | $1512.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                             | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                     | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2928 | PA      | $3055.76      | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                             | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                    | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8329 | PA      | $7331.26      | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/31 VAR                     | CUSIP: ACI34TWH9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     600000 | PA      | $700455.44    | 0.13%             | 2031-11-07      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2176.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXL6 PIMCO FXVAN PUT USD BRL 5.16000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -910000 | NC      | $-315.77      | -0.00%            |  |  |  | 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      | $-21581.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $17230.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $875.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1380052000 | PA      | $865870.68    | 0.16%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                                   | FREDDIE MAC FHR 5563 FV                                   | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1487454 | PA      | $1496691.52   | 0.27%             | 2055-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 03/30 VAR                       | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $208163.26    | 0.04%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75               | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5200000 | PA      | $6165122.65   | 1.13%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $199224.51    | 0.04%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                         | BDS LTD BDS 2021 FL10 A 144A                              | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     481229 | PA      | $481658.53    | 0.09%             | 2036-12-16      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/33 3.5                                 | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $680380.86    | 0.12%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-234.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1226.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                 | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45          | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     600000 | PA      | $592009.61    | 0.11%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $10710.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 10/51 3.53                    | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   28000000 | PA      | $4923054.03   | 0.90%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $376.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                 | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A2 144A      | CUSIP: 75585RRU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    1000000 | PA      | $702182.07    | 0.13%             | 2055-02-12      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER 02/26 ZCP                         | CUSIP: 40412DBC2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $995121.50    | 0.18%             | 2026-02-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6338.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $8539.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  115500000 | PA      | $7278731.88   | 1.34%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 01/33 4.5                    | CUSIP: 46514BRA7<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $393234.62    | 0.07%             | 2033-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A          | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3641397 | PA      | $3186659.25   | 0.58%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-546.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3730.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                     | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  217000000 | PA      | $1282494.38   | 0.24%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                          | KOREA TREASURY BOND BONDS 06/30 1.375                     | CUSIP: ACI1LSN29<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1811520000 | PA      | $1160803.86   | 0.21%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $12626.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                               | STATE OF ISRAEL SR UNSECURED 03/34 5.5                    | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1200000 | PA      | $1244707.70   | 0.23%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $157294.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $2141.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1          | CUSIP: 17313CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     602370 | PA      | $602022.28    | 0.11%             | 2037-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/31 0.125                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2551185 | PA      | $2364557.32   | 0.43%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-210711.57   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5300000 | PA      | $5604265.79   | 1.03%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $176913.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/31 5.125                     | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     900000 | PA      | $1083000.85   | 0.20%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260615                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-269.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-21476.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/61 3.404        | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     400000 | PA      | $272229.24    | 0.05%             | 2061-04-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2           | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        366 | PA      | $359.30       | 0.00%             | 2033-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-144556.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                     | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6              | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189270 | PA      | $4683.38      | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        316 | NC      | $-292839.49   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $17487.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4750.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.88000 12/04/24-9Y* LC                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $11583.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-7655.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -84 | NC      | $173317.74    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7595.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR              | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1124190.39   | 0.21%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020620<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -47950000 | PA      | $-38762514.36 | -7.11%            | 2056-02-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   71000000 | PA      | $70742069.78  | 12.98%            | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                   | FREDDIE MAC FHR 5511 FB                                   | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2570526 | PA      | $2594266.02   | 0.48%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290507                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $14517.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                  | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     500000 | PA      | $464427.21    | 0.09%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/32 0.125                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1057149 | PA      | $966331.97    | 0.18%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $2922.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-667.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-860935.80   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1365116.25   | 0.25%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.60000 12/18/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-186534.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBA3A3 PIMCO SWAPTION 3.925 PUT USD 2026010            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-397.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 3YR BOND FUT MAR26 XSFE 20260316                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        181 | NC      | $1160.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016            | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    1300000 | PA      | $1303366.14   | 0.24%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                        | FANNIE MAE FNR 2004 11 A                                  | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $243.71       | 0.00%             | 2034-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA 144A 01/30 VAR                                    | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1400000 | PA      | $1449805.63   | 0.27%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP                        | WEST VA HEALTH SYS OBL SECURED 06/50 3.129                | CUSIP: 956708AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $505238.58    | 0.09%             | 2050-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (2 YEAR ISSUE) BONDS 01/26 0.1                      | CUSIP: ACI2M7VN7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  530000000 | PA      | $3383486.98   | 0.62%             | 2026-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-20804.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                 | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3             | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     600000 | PA      | $581855.72    | 0.11%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-47293.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.52250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $3344.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $41943.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $3454.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3           | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126449 | PA      | $25662.17     | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4019.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UB8QA3 PIMCO SWAPTION 3.798 PUT USD 2026010            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-2835.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5250.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1114.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1   | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    1900000 | PA      | $614754.10    | 0.11%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                          | ABN AMRO BANK NV 144A 12/35 VAR                           | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     900000 | PA      | $929788.97    | 0.17%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -88 | NC      | $238309.72    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3          | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3424 | PA      | $3098.56      | 0.00%             | 2035-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA INVESTMNT ISSUE BONDS 10/32 4.193                | CUSIP: ACI24V7D3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    2860000 | PA      | $737045.54    | 0.14%             | 2032-10-07      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                      | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  300000000 | PA      | $1853013.28   | 0.34%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                            | CAIRN CLO BV CRNCL 2019 11A AR 144A                       | CUSIP: ACI34RX33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1200000 | PA      | $1411692.25   | 0.26%             | 2040-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 10/50 0.625                | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1300000 | PA      | $647768.40    | 0.12%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125    | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    1400000 | PA      | $1431036.96   | 0.26%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PSP CAPITAL INC                                                           | PSP CAPITAL INC COMPANY GUAR 09/31 4.5                    | CUSIP: ACI2QY2T3<br>LEI: 549300B456N0WEIC5249 | Long             | DBT              | MUN               | CA        |    3300000 | PA      | $2154730.44   | 0.40%             | 2031-09-05      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BOBL FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -237 | NC      | $248992.76    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-490462.69   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/55 4.75                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $294867.19    | 0.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                          | PROJECT CASHMERE CLASS A1 144A                            | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    8400000 | PA      | $5605740.28   | 1.03%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/30 4.136            | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     700000 | PA      | $701386.44    | 0.13%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $7860.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                            | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6            | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |    1149561 | PA      | $1157688.03   | 0.21%             | 2030-06-24      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                  | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $807641.62    | 0.15%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260212                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-4185.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG45 10Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-229275.10   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 7.775  2 | CUSIP: ACI2YZPV1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   17350000 | PA      | $1012228.26   | 0.19%             | 2026-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2608.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3927 | PA      | $2788.58      | 0.00%             | 2036-05-25      | Floating      | 4.27%                 | 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      | $-11455.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-1                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 1A6A             | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141990 | PA      | $31125.79     | 0.01%             | 2037-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                      | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1             | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.41         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4503.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S493 PIMCO FXVAN PUT EUR HUF 378.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |     670000 | NC      | $1998.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260310                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4092.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-6009.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $150.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                   | BANK OF NOVA SCOTIA COVERED REGS 09/29 0.01               | CUSIP: ACI20BTZ8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1280350.00   | 0.24%             | 2029-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                 | BANQUE FED CRED MUTUEL 144A 01/27 5.088                   | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $606525.86    | 0.11%             | 2027-01-23      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                   | UNITED WHOLSALE MORTGAGE LLC UWM 2021 INV5 A12 144A       | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464607 | PA      | $406296.84    | 0.07%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $10525.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $65294.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                               | QATAR ENERGY SR UNSECURED 144A 07/31 2.25                 | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     300000 | PA      | $270399.00    | 0.05%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2519.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1265.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 07/51 1.25                 | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2100000 | PA      | $1257649.96   | 0.23%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $13615.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-10747.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EUROCLEAR  92707 REPO REPO EUR                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |     852310 | PA      | $1001634.70   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                        | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4             | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     848834 | PA      | $814546.05    | 0.15%             | 2036-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       4032 | PA      | $3604.61      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII          | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168566 | PA      | $155873.19    | 0.03%             | 2035-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EGP BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $-50.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC                           | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 2A AR 144A      | CUSIP: ACI2QLH16<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     524374 | PA      | $616573.09    | 0.11%             | 2033-01-15      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-109.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.83993 12/02/24-7Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-42696.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2          | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        218 | PA      | $210.13       | 0.00%             | 2034-07-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-7531.81     | -0.00%            |  |  |  | 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      | $-41035.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-902.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6989 FN 06/53 FIXED 5.5                       | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     784551 | PA      | $797113.97    | 0.15%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-15330.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -597000 | NC      | $-195.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-303.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $17589.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $479.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/36 VAR                     | CUSIP: ACI34TWL0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     600000 | PA      | $694294.35    | 0.13%             | 2036-11-07      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A          | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30214 | PA      | $28022.99     | 0.01%             | 2046-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 01/44 3.25                 | CUSIP: B84Z9VII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     900000 | PA      | $951526.35    | 0.17%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260528                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-408.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |          1 | NC      | $-363.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED REGS 08/30 VAR                  | CUSIP: ACI2HT3X4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1742722.22   | 0.32%             | 2030-08-08      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 1.00000 05/13/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-31344.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/18/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21685.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                              | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                        | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4784 | PA      | $4765.82      | 0.00%             | 2042-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.45100 05/27/25-25Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-510410.01   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM9                  | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM9 A1 144A     | CUSIP: 61779VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     980552 | PA      | $983026.04    | 0.18%             | 2070-09-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICAN T BILLS BILLS 04/26 0.00000                 | CUSIP: ACI2WQ115<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   13190000 | PA      | $781937.61    | 0.14%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                               | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     900000 | PA      | $901040.12    | 0.17%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-23927.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7835.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                     | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  440000000 | PA      | $2044915.73   | 0.38%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25                 | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    5000000 | PA      | $258155.19    | 0.05%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3775.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $316.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                     | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    4000000 | PA      | $20979.57     | 0.00%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-374.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260520                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $754.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25       | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    2700000 | PA      | $1474521.91   | 0.27%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/48 3                                   | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $370351.56    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.95913 02/12/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42492.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-10531.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 11/29 2.5           | CUSIP: ACI2Q20Z1<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |  147710000 | PA      | $4915665.02   | 0.90%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-171814.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $637.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1777.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $18659.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BTP FUTURE   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        312 | NC      | $-167448.39   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1           | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369377 | PA      | $91788.88     | 0.02%             | 2046-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                      | GROSVENOR PLACE CLO BV GROSV 2024 2A A 144A               | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1300000 | PA      | $1528874.18   | 0.28%             | 2039-01-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1291.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A      | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     460851 | PA      | $447350.62    | 0.08%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER 01/26 ZCP                         | CUSIP: 40412DAM1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249413.38    | 0.05%             | 2026-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268               | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |     400000 | PA      | $412330.00    | 0.08%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| SCULE 6A                                                                  | SCULPTOR EUROPEAN CLO SCULE 6A AR 144A                    | CUSIP: ACI1ZPWK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1176410.92   | 0.22%             | 2034-10-15      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-442.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6030 FN 04/53 FIXED 4.5                       | CUSIP: 3140QRVY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216508 | PA      | $212040.58    | 0.04%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3765.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-21020.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $37836.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                  | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                    | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280135 | PA      | $280480.18    | 0.05%             | 2030-10-24      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3372.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5284.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KBC GROEP NV                                                              | KBC GROUP NV SR UNSECURED 144A 01/29 VAR                  | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     800000 | PA      | $826406.62    | 0.15%             | 2029-01-19      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $540.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                               | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS                 | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     126441 | PA      | $168446.35    | 0.03%             | 2050-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-13690.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                          | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A                 | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     437434 | PA      | $288032.91    | 0.05%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-229.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                            | OFSI FUND LTD OFSBS 2021 10A AR 144A                      | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2102899.26   | 0.39%             | 2034-04-20      | Floating      | 5.15%                 | 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        |     172104 | PA      | $166549.21    | 0.03%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5453.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $46378.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 03/51 0.7                     | CUSIP: BNKDTMII1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  160000000 | PA      | $565403.47    | 0.10%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/18/26-5Y SCX                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-11934.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6616.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $3470.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3365.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $5368.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.45975 09/02/25-2Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14651.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6857.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $12838.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  FEB26P 111.5 EXP 01/23/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -17 | NC      | $-2657.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1          | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5562 | PA      | $5341.73      | 0.00%             | 2045-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2             | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    2700000 | PA      | $1452233.09   | 0.27%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BBAM EUROPEAN CLO I DAC 1A                                                | BBAM EUROPEAN CLO BBAME 1A AR 144A                        | CUSIP: ACI2M3430<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $2350749.25   | 0.43%             | 2034-07-22      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                  | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $998922.65    | 0.18%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A            | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        679 | PA      | $663.22       | 0.00%             | 2034-02-27      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.55100 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25924.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4176.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F             | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     391624 | PA      | $393237.61    | 0.07%             | 2066-05-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875    | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     500000 | PA      | $508489.29    | 0.09%             | 2033-07-18      | Fixed         | 4.88%                 | 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      | $-16150.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 06/49 3                  | CUSIP: ACI2MHL63<br>LEI: 969500KCGF3SUYJHPV70 | Short            | DBT              | NUSS              | FR        |   -1000000 | PA      | $-953181.21   | -0.17%            | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                               | NATIONWIDE BLDG SOCIETY 144A 02/28 VAR                    | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1186026.55   | 0.22%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-SCHATZ FUT   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -104 | NC      | $17910.24     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE 2006-48                                                        | FANNIE MAE FNR 2006 48 TF                                 | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5240 | PA      | $5201.10      | 0.00%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY6161 FN 07/53 FIXED 5.5                       | CUSIP: 3140NNZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2417355 | PA      | $2457491.21   | 0.45%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11518 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13363.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND SR UNSECURED 09/34 5.125               | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     900000 | PA      | $923908.68    | 0.17%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $10429.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260305                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-19.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-260.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2            | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         62 | PA      | $61.29        | 0.00%             | 2034-04-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-28356.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                    | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5272 | PA      | $4900.19      | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 04/28 3.519                     | CUSIP: ACI2FJPF3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |   30997000 | PA      | $7731834.24   | 1.42%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR            | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     500000 | PA      | $519226.22    | 0.10%             | 2036-01-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $19565.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $3727.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-829.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.7500 12/18/18-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-56236.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12170.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A           | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151033 | PA      | $153931.24    | 0.03%             | 2058-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1           | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10388 | PA      | $10170.01     | 0.00%             | 2034-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UB8RA2 PIMCO SWAPTION 3.498 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-0.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65             | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    8800000 | PA      | $6467800.67   | 1.19%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $4456.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.82761 12/30/22-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-36897.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                 | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A            | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     917779 | PA      | $1077434.48   | 0.20%             | 2033-08-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260713                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-196.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $7976.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5               | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175993 | PA      | $183091.18    | 0.03%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA UNSECURED 144A 07/30 1.75                         | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $318886.99    | 0.06%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 04/29 3.875                               | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     990320 | PA      | $1067093.72   | 0.20%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                    | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13894 | PA      | $12806.03     | 0.00%             | 2033-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 03/30 2.75                      | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     100000 | PA      | $72421.17     | 0.01%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A6              | CUSIP: 12668WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58092 | PA      | $55903.14     | 0.01%             | 2035-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 5YR BOND FUT  MAR26 XMOD 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         34 | NC      | $-16965.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $1065.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCS USD R US SOFR/GBP SONIA-30.05 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $-14110.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                              | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75     | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     900000 | PA      | $904948.57    | 0.17%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2          | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        770 | PA      | $738.37       | 0.00%             | 2034-03-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $553.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1               | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10951 | PA      | $10109.81     | 0.00%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000       | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    4150000 | PA      | $4664341.73   | 0.86%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                             | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                   | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1115210 | PA      | $920165.37    | 0.17%             | 2036-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8763.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13485.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75                 | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    7100000 | PA      | $413699.34    | 0.08%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                        | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A       | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1569648.64   | 0.29%             | 2036-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 05/35 1.65                    | CUSIP: BT6F11II5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   55600000 | PA      | $7818363.37   | 1.44%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                 | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876           | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    3700000 | PA      | $3831218.47   | 0.70%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 10/50 1                      | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.24         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     312000 | NC      | $174.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 841068 FN 11/34 FLOATING VAR                    | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3938 | PA      | $4132.62      | 0.00%             | 2034-11-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE            | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4387 | PA      | $4334.96      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $12727.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375    | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     800000 | PA      | $839449.07    | 0.15%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND SR UNSECURED 03/29 4.625               | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     500000 | PA      | $510954.09    | 0.09%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                           | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995             | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |     750000 | PA      | $903778.74    | 0.17%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-61583.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $517.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1427.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $1778.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                               | REPUBLIC OF POLAND BONDS 02/35 5.375                      | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     300000 | PA      | $311714.51    | 0.06%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-113.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                          | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                  | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10645 | PA      | $10049.89     | 0.00%             | 2036-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2573.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.9314* 02/06/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12038.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                         | GPMT LTD. GPMT 2021 FL4 A 144A                            | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1046504 | PA      | $1048118.96   | 0.19%             | 2036-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                          | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A            | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     537826 | PA      | $494631.10    | 0.09%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1240.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $39320.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $6008.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                    | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2016 | PA      | $1960.15      | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1243.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $12902.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 11/29 VAR                     | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     500000 | PA      | $530055.83    | 0.10%             | 2029-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3700000 | PA      | $-3270597.68  | -0.60%            | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $81.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CNY R 1.50000 03/18/26-5Y BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-102721.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                       | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  545000000 | PA      | $3027770.05   | 0.56%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS KRW 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-344747.96   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                     | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  120000000 | PA      | $742890.70    | 0.14%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                        | CREDIT AGRICOLE SA 144A 01/36 VAR                         | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1800000 | PA      | $1899759.91   | 0.35%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                            | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS              | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      24567 | PA      | $33094.87     | 0.01%             | 2044-06-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3185.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1720.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260312                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3683.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 04/38 VAR               | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $560074.34    | 0.10%             | 2038-04-24      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                   | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     571972 | PA      | $396187.00    | 0.07%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                           | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA         | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   84800000 | PA      | $952553.40    | 0.17%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1228.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260707                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-151.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $4806.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-576691.92   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SECURED 144A 01/30 5.4            | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1128621.77   | 0.21%             | 2030-01-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2             | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45314 | PA      | $45317.45     | 0.01%             | 2036-03-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                             | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A      | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     491452 | PA      | $492083.74    | 0.09%             | 2037-01-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260306                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $727.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                     | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  725750640 | PA      | $4714321.22   | 0.87%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                       | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3          | CUSIP: 40430RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559456 | PA      | $283192.55    | 0.05%             | 2037-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $853.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 12/60 2.78                  | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     700000 | PA      | $381780.00    | 0.07%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -800000 | PA      | $-781101.24   | -0.14%            | 2055-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1095.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-5352.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2665.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-58029.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                         | NATWEST GROUP PLC SR UNSECURED 03/35 VAR                  | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2115881.84   | 0.39%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                       | MFRA TRUST MFRA 2020 NQM2 A3 144A                         | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54510 | PA      | $53641.81     | 0.01%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                              | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A      | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2517480 | PA      | $2105609.25   | 0.39%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXO0 PIMCO FXVAN CALL USD SGD 1.31500000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1378000 | NC      | $4686.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.47000 09/04/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $26057.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8455.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT                                                            | ABU DHABI GOVT INT L SR UNSECURED 144A 04/54 5.5          | CUSIP: 29135LAU4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    1700000 | PA      | $1739152.28   | 0.32%             | 2054-04-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-65857.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1995000 | NC      | $1111.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A          | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13759 | PA      | $8582.50      | 0.00%             | 2046-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                   | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1              | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         13 | PA      | $1.51         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $560.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                       | MFRA TRUST MFRA 2020 NQM2 A1 144A                         | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149902 | PA      | $147243.94    | 0.03%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8341.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2609.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S550 PIMCO FXVAN PUT EUR HUF 376.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     813000 | NC      | $1720.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $143.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                       | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107687 | PA      | $101794.51    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $1865.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A             | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230112 | PA      | $215930.61    | 0.04%             | 2037-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                        | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75       | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $583973.94    | 0.11%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5487.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                    | STANDARD CHARTERED PLC SR UNSECURED 144A 01/28 VAR        | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1378546.60   | 0.25%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                          | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A     | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1300715.00   | 0.24%             | 2034-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1487.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260330                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $205.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16092.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3478.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $806.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                       | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A           | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     493747 | PA      | $580561.03    | 0.11%             | 2033-04-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1511.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/35 3   | CUSIP: ACI2XHL53<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1200000 | PA      | $1400551.64   | 0.26%             | 2035-10-31      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A             | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     552380 | PA      | $529102.63    | 0.10%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-585.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4346 FN 10/49 FIXED 3                         | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     857115 | PA      | $760475.66    | 0.14%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                | CHINA GOVERNMENT BOND BONDS 01/55 1.92                    | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   14900000 | PA      | $1969069.07   | 0.36%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5200000 | PA      | $-4791515.61  | -0.88%            | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $13432.13     | 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        |    5000000 | PA      | $1605307.79   | 0.29%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1147000 | NC      | $641.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3866.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $10207.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MDGH GMTN (RSC) LTD                                                       | MDGH GMTN RSC LTD COMPANY GUAR 144A 04/33 5.5             | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | MUN               | AE        |     400000 | PA      | $423338.00    | 0.08%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2686.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-10609.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $1660.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14079.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $339.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 800171 FN 12/34 FLOATING VAR                    | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $559.33       | 0.00%             | 2034-12-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-92198.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CIBC                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3044000 | PA      | $-3049316.85  | -0.56%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $32558.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $24746.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/28 4                                   | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $707396.49    | 0.13%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/48 3                                   | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $744453.12    | 0.14%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4142.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.5000 03/22/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-35367.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-814.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RMC8 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     528000 | NC      | $3183.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A            | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     880140 | PA      | $826756.08    | 0.15%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 01/49 1.75                 | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1300000 | PA      | $952832.52    | 0.17%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-9731.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC-2007-1X                                               | NEWGATE FUNDING PLC NGATE 2007 1X A3 REGS                 | CUSIP: 994BNLII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      97213 | PA      | $129236.80    | 0.02%             | 2050-12-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS NZD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $87739.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RLA3 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1535117 | NC      | $8915.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 10/53 1.5                    | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.23         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                     | GSAMP TRUST GSAMP 2005 WMC2 M1                            | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     788443 | PA      | $785943.27    | 0.14%             | 2035-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $782.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $77599.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-93.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $433.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7         | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3200000 | PA      | $1041144.86   | 0.19%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9731.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 05/37 5.625                     | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $572622.07    | 0.11%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                                    | CHINA DEVELOPMENT BANK UNSECURED 05/33 2.82               | CUSIP: ACI2G7SL2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |   95780000 | PA      | $14522255.39  | 2.67%             | 2033-05-22      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6            | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     400000 | PA      | $559528.86    | 0.10%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                       | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A          | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     252623 | PA      | $226950.86    | 0.04%             | 2037-12-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7520895 | PA      | $-7532360.18  | -1.38%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4               | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $75286.08     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080397 G2 04/30 FLOATING VAR                 | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $66.76        | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260206                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $11632.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A         | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2513499 | PA      | $3391578.85   | 0.62%             | 2060-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3272.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28900000 | PA      | $29660005.84  | 5.44%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4186.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-8373.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-769857.69   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $973.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 03/19/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $220054.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                        | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6                 | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    8500000 | PA      | $6190329.01   | 1.14%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                      | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1           | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9597 | PA      | $7630.57      | 0.00%             | 2046-12-26      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 1.5                 | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2315307 | PA      | $293170.54    | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $618.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-45478.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         33 | NC      | $-11644.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/50 1                   | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.19         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                            | HAYFIN EMERALD CLO HAYEM 14A A 144A                       | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2600000 | PA      | $3057753.86   | 0.56%             | 2039-01-22      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XVII LTD                                              | PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR           | CUSIP: 74042EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     220827 | PA      | $212546.35    | 0.04%             | 2035-06-23      | Floating      | 4.37%                 | 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      | $-15053.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $188.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RZO8 PIMCO FXVAN PUT USD KRW 1380.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -2132500 | NC      | $-2987.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $7851.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.75000 03/19/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-3479.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260324                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $5378.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A      | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410108 | PA      | $396590.86    | 0.07%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                                             | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS               | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      27013 | PA      | $36421.46     | 0.01%             | 2049-12-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95             | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    2241000 | PA      | $741261.54    | 0.14%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 09/34 6.25                      | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $246972.98    | 0.05%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6.5 JUMBOS                              | CUSIP: 21H062628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16100000 | PA      | $16626394.65  | 3.05%             | 2055-02-15      | Fixed         | 6.50%                 | 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        |    3400000 | PA      | $1090759.57   | 0.20%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO III DAC 3A                                                     | AURIUM CLO ACLO 3A AR 144A                                | CUSIP: ACI1FVVB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     101414 | PA      | $119242.08    | 0.02%             | 2030-04-16      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.00000 03/18/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-170115.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED REGS 10/50 1                 | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          7 | PA      | $0.87         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                       | UNITED KINGDOM GILT BONDS REGS 03/30 4.375                | CUSIP: BSQNRDII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   11000000 | PA      | $15084415.40  | 2.77%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1             | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3000 | PA      | $2960.20      | 0.00%             | 2047-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260518                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-82.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 04/31 2.632                     | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    2700000 | PA      | $644620.01    | 0.12%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.94000 08/22/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11582.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-3160.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3626.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPN 10Y BOND(OSE) MAR26 XOSE 20260313                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -37 | NC      | $213785.53    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-KS9                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4          | CUSIP: 75406YAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1355714 | PA      | $1188963.20   | 0.22%             | 2036-11-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 1G0173 FH 04/35 FLOATING VAR            | CUSIP: 3128NCFN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6637 | PA      | $6816.16      | 0.00%             | 2035-04-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5               | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     795696 | PA      | $809419.56    | 0.15%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260312                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1104.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KZT SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $1752.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2370.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $19809.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $250.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $212.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1           | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18383 | PA      | $15427.07     | 0.00%             | 2037-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1           | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        121 | PA      | $115.25       | 0.00%             | 2032-09-19      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $209200.00    | 0.04%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                           | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                 | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23094 | PA      | $10316.91     | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260706                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-158.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-6925.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EGP SOLD USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $2921.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260630                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-20.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1         | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31664 | PA      | $26595.34     | 0.00%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                             | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102    | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     251192 | PA      | $257971.44    | 0.05%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                            | MORGAN STANLEY SR UNSECURED 03/27 VAR                     | CUSIP: ACI2NCY93<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1530382.70   | 0.28%             | 2027-03-19      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300515                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5724.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                         | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                    | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     816198 | PA      | $817386.44    | 0.15%             | 2039-02-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-270086.19   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.25000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-419099.94   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $7906.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED 144A 12/40 2.625                     | CUSIP: ACI1T3QG2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $310111.77    | 0.06%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2525.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                  | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1200000 | PA      | $1188978.96   | 0.22%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5452.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FOXCONN (FAR EAST) LIMITED                                                | FOXCONN FAR EAST LTD COMPANY GUAR 08/28 1.875             | CUSIP: ACI34TDV9<br>LEI: 254900NAQSPFDWVY8H73 | Long             | DBT              | CORP              | KY        |    1400000 | PA      | $1299379.80   | 0.24%             | 2028-08-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1273000 | NC      | $-422.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                          | KOREA TREASURY BOND BONDS 12/28 2.375                     | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 5299000000 | PA      | $3617136.28   | 0.66%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-342616.81   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300514                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5724.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6                 | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165842 | PA      | $170375.99    | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $354.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $141412.01    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                   | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1          | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        211 | PA      | $209.74       | 0.00%             | 2032-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-2620.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                               | CANADIAN GOVERNMENT BONDS 06/34 3                         | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6300000 | PA      | $4486421.97   | 0.82%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-10186.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $962.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.96000 06/27/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42691.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2372.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $152854.45    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20261221                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-8217.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $7320.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.77147 03/12/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21455.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1661 FR 03/54 FIXED 6                 | CUSIP: 3142GRZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63213 | PA      | $65077.77     | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5               | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1584864 | PA      | $1346346.22   | 0.25%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA6106 FN 06/50 FIXED 4                         | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332454 | PA      | $319038.85    | 0.06%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-586.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -18714062 | PA      | $-18744706.78 | -3.44%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     170157 | PA      | $1657495.00   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $3719.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2025-R1                                          | ANGEL OAK MORTGAGE TRUST AOMT 2025 R1 A1 144A             | CUSIP: 034951AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1333957 | PA      | $1333155.86   | 0.24%             | 2062-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $731.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2                | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8433 | PA      | $5527.89      | 0.00%             | 2036-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1350.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $94274.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 09/27 VAR                       | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2031561.08   | 0.37%             | 2027-09-13      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                          | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2               | CUSIP: BMF7LTII5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1200000 | PA      | $596458.77    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2378.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-39972.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A            | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     713471 | PA      | $722764.91    | 0.13%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A      | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148522 | PA      | $124865.54    | 0.02%             | 2036-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10504.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                      | GLENCORE FUNDING LLC COMPANY GUAR 144A 04/29 5.371        | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1342355.59   | 0.25%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                        | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                  | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600180.65    | 0.11%             | 2034-10-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                      | JYSKE REALKREDIT A/S COVERED 10/53 1.5                    | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1698376 | PA      | $216498.73    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 10Y BOND FUT MAR26 XSFE 20260316                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -472 | NC      | $-67410.06    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH KOREA GOVT                                                          | KOREA TREASURY BOND BONDS 06/28 2.625                     | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 9018720000 | PA      | $6218537.50   | 1.14%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260506                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-103936.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                            | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR              | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     183990 | PA      | $157219.11    | 0.03%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3442.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                      | GLENCORE FUNDING LLC COMPANY GUAR 144A 04/30 5.186        | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     800000 | PA      | $822872.09    | 0.15%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.77259 03/04/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $78667.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8692.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2            | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1052817 | PA      | $250764.10    | 0.05%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-105.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300509                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5740.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-3132.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23553.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1734.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-21560.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3            | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635400 | PA      | $191743.78    | 0.04%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-508589.56   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85             | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $205732.00    | 0.04%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $155247.47    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-908.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1847.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                            | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5      | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |     200000 | PA      | $179994.86    | 0.03%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1438896.02  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 080409 G2 05/30 FLOATING VAR                 | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $128.21       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-11868.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/30 3.25     | CUSIP: ACI1LTCD5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $191291.58    | 0.04%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                        | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4     | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |  134000000 | PA      | $274544.19    | 0.05%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/44 4.125                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3875000 | PA      | $3557583.02   | 0.65%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                             | THAILAND GOVERNMENT BOND SR UNSECURED 03/35 2.41          | CUSIP: ACI2TGV26<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   15560000 | PA      | $528126.30    | 0.10%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4011.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-34541.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1           | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20092 | PA      | $6074.40      | 0.00%             | 2047-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1701.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4015.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBEXA2 PIMCO SWAPTION 3.622 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-4369.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                           | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A      | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1300333.00   | 0.24%             | 2035-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-33231.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                    | REALKREDIT DANMARK COVERED REGS 10/53 1.5                 | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.17         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $597683.65    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                    | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985555 | PA      | $897893.15    | 0.16%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 10YR BOND FUT MAR26 XMOD 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         70 | NC      | $-61721.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD NGN BOUGHT USD 20261118                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $-135.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                              | ACE SECURITIES CORP. ACE 2006 NC2 A1                      | CUSIP: 00441XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838623 | PA      | $647308.36    | 0.12%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                             | ARGENT SECURITIES INC. ARSI 2005 W1 A1                    | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     792958 | PA      | $727929.19    | 0.13%             | 2035-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-127875.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-148979.28   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                         | FANNIE MAE FNR 2006 5 3A2                                 | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1279 | PA      | $1310.91      | 0.00%             | 2035-05-25      | Floating      | 6.31%                 | 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        |    1453285 | PA      | $1403762.80   | 0.26%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA NOTES 12/26 10.5                 | CUSIP: ACI34X960<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    6300000 | PA      | $392292.93    | 0.07%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-542.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5445 FN 08/54 FIXED 6                         | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218129 | PA      | $224107.73    | 0.04%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $17756.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260113                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5878.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBA4A2 PIMCO SWAPTION 3.625 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-181.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $15603.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/48 3.375                               | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2600000 | PA      | $2057859.39   | 0.38%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20270610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-634.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-125.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                               | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05           | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     500000 | PA      | $458398.51    | 0.08%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1280.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A     | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282565 | PA      | $238062.88    | 0.04%             | 2036-10-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3072.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-61734.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260217                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $306.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1111.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS SGD SIBSORA/1.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $329346.82    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $6.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                                    | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A               | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     900000 | PA      | $1058575.53   | 0.19%             | 2038-01-22      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-990.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                              | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5      | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     200000 | PA      | $201762.77    | 0.04%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXP7 PIMCO FXVAN PUT USD SGD 1.23650000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |   -1378000 | NC      | $-11558.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-2738.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1147000 | NC      | $-380.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-1996.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-7107.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                          | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A             | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364779 | PA      | $353088.09    | 0.06%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -250000 | PA      | $-237008.48   | -0.04%            | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-14428.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                           | SANDS CHINA LTD SR UNSECURED 08/28 5.65                   | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     500000 | PA      | $509856.50    | 0.09%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $10605.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $371.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUXL 30Y BND MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         15 | NC      | $-30995.19    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6136.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290502                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $14541.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/33 1.125                               | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4372360 | PA      | $4196812.81   | 0.77%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1               | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80615 | PA      | $72873.65     | 0.01%             | 2036-10-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.64300 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10608.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A     | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341290 | PA      | $193342.91    | 0.04%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5580.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                                    | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A             | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        484 | PA      | $506.83       | 0.00%             | 2029-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.58600 08/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10053.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO JPM CHASE                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -557375 | PA      | $-558044.31   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RXK8 PIMCO FXVAN CALL USD BRL 5.69000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -910000 | NC      | $-7066.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $208960.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-19077.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-97.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-144.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KWD SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-84.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  534000000 | PA      | $338130.64    | 0.06%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                      | JPMORGAN CHASE + CO SR UNSECURED 01/30 VAR                | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1743242.49   | 0.32%             | 2030-01-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20290508                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $10267.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                   | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR            | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1106279.10   | 0.20%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $554.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT COMPANY                                             | GACI FIRST INVESTMENT COMPANY GUAR REGS 01/34 5.25        | CUSIP: ACI2MLG86<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $616780.52    | 0.11%             | 2034-01-29      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                    | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR        | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1414429.20   | 0.26%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                               | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75               | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   10400000 | PA      | $12254957.29  | 2.25%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR6 A1           | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15011 | PA      | $12979.41     | 0.00%             | 2047-08-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $17141.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260417                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-258.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                        | BLACKSTONE HOLDINGS FINA COMPANY GUAR 144A 06/34 3.5      | CUSIP: ACI25ZFG7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     600000 | PA      | $700165.94    | 0.13%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A             | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181611 | PA      | $168133.36    | 0.03%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                             | BOEING CO/THE SR UNSECURED 05/27 6.259                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     600000 | PA      | $615876.35    | 0.11%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.40000 03/14/24-9Y* LC                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-66327.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/36 5   | CUSIP: ACI2KMVF3<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    2200000 | PA      | $1445986.02   | 0.27%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXIV DAC 24A                                       | CORDATUS CLO PLC CORDA 24A A 144A                         | CUSIP: ACI2N2L65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     320156 | PA      | $376952.17    | 0.07%             | 2034-10-23      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A     | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417570 | PA      | $422542.50    | 0.08%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C          | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     933412 | PA      | $459807.46    | 0.08%             | 2037-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $156653.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                    | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2360917 | PA      | $2152011.67   | 0.39%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS SEK 2.47375 02/03/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $54127.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-744.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260212                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1586.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1738.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2525.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00500 09/29/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12447.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-776.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                     | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  283300000 | PA      | $1422685.43   | 0.26%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 03/19/25-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $628343.97    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16465.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2            | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     693799 | PA      | $333152.91    | 0.06%             | 2036-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $17697.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-107911.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A          | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2418064 | PA      | $2122070.71   | 0.39%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5572.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7441 FN 05/51 FIXED VAR                       | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66686 | PA      | $59067.48     | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-143.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1            | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         68 | PA      | $69.97        | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | 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      | $-17997.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-176.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-8                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 8 A3 144A        | CUSIP: 17310CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     906141 | PA      | $387797.42    | 0.07%             | 2035-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1995000 | NC      | $-654.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $882.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 806506 FN 10/44 FLOATING VAR                    | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2935 | PA      | $2971.29      | 0.00%             | 2044-10-01      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.3000 01/18/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-110681.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-10186.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA ROMANIA                                           | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $601114.79    | 0.11%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                  | LLOYDS BANKING GROUP PLC SR UNSECURED 11/35 VAR           | CUSIP: 539439BA6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1466123.33   | 0.27%             | 2035-11-26      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2459.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3   | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    7360000 | PA      | $8824796.72   | 1.62%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5400000 | PA      | $-4565953.15  | -0.84%            | 2055-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $5496.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4470.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                     | TORONTO DOMINION BANK COVERED 144A 07/27 4.814            | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    2100000 | PA      | $2135899.33   | 0.39%             | 2027-07-16      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A          | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3116609 | PA      | $2737130.11   | 0.50%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                        | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A         | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1800037.08   | 0.33%             | 2035-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A1         | CUSIP: 92925GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56840 | PA      | $50404.66     | 0.01%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2850.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.59500 08/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5234.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1           | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12705 | PA      | $11680.77     | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-142860.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-83.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/0.85000 09/20/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-54677.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $229.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $3146.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3            | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547600 | PA      | $283161.70    | 0.05%             | 2037-04-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2661.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-747920.20   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $6206.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-215362.72   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE6                                                      | GSAMP TRUST GSAMP 2005 HE6 M3                             | CUSIP: 362341G60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $875752.20    | 0.16%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $17978.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $6881.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1273000 | NC      | $711.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75     | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $231288.76    | 0.04%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A     | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292020 | PA      | $244608.74    | 0.04%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                    | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     989492 | PA      | $901238.68    | 0.17%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-169642.42   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.00000 06/18/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $11822.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  FEB26C 113.5 EXP 01/23/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -25 | NC      | $-1934.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-18469.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                             | MALAYSIA GOVERNMENT BONDS 07/32 3.582                     | CUSIP: ACI22Y4J9<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     530000 | PA      | $132547.02    | 0.02%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-6104.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                                 | FANNIE MAE FNR 2025 19 FC                                 | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1041271 | PA      | $1045590.28   | 0.19%             | 2055-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2             | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273805 | PA      | $202158.29    | 0.04%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG         | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     300000 | PA      | $88500.00     | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.50000 09/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $16942.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                           | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1   | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    1600000 | PA      | $813739.94    | 0.15%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2             | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     600000 | PA      | $596469.95    | 0.11%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                | JAPAN (20 YEAR ISSUE) BONDS 09/35 1.2                     | CUSIP: ACI0GYYD8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  920000000 | PA      | $5440533.71   | 1.00%             | 2035-09-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2424.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-9188.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $43263.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KWD BOUGHT USD 20300513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5730.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                  | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55         | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $176368.53    | 0.03%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-10222.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/2.8500 12/31/24-5Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $23223.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer