# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004478
**Filing Date:** 2025-11
**Character Count:** 766602
**Document Hash:** 616313fc0a0104bcd7ab683e8c0f1b19
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004478.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004478

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528302

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

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

## Series and Classes Contracts Data

### PIMCO Dynamic Bond Fund (Series ID: S000022557)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000065243 | A             | PUBAX           |
| C000065245 | I-2           | PUCPX           |
| C000065246 | Institutional | PFIUX           |
| C000069483 | Class C       | PUBCX           |
| C000069484 | Class R       | PUBRX           |
| C000200461 | I-3           | PFNUX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Dynamic Bond Fund

- **b. EDGAR series identifier (if any):** S000022557

- **c. LEI of Series:** O7M5VNOD7AVYOESOBU56

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6978826198.63

**Total Liabilities:** $4432938247.00

**Net Assets:** $2545887951.63

**Delayed Delivery Securities:** $66876540.59

**Cash Not Reported:** $6183002.41

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 113189.353600 | **1-Year:** 221169.306500 | **5-Year:** 704858.738700 | **10-Year:** 122022.580200 | **30-Year:** 6058.977400

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

- **3-Month:** 95432.401300 | **1-Year:** 24950.988600 | **5-Year:** 142320.988100 | **10-Year:** 49490.408100 | **30-Year:** 1149.644700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000065243 | 0.02%                | 1.53%                | 0.80%                |
| Class ID C000069483 | -0.04%               | 1.46%                | 0.74%                |
| Class ID C000065245 | 0.05%                | 1.56%                | 0.83%                |
| Class ID C000200461 | 0.04%                | 1.55%                | 0.82%                |
| Class ID C000069484 | 0.00%                | 1.51%                | 0.78%                |
| Class ID C000065246 | 0.06%                | 1.56%                | 0.83%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $11616665.77             | $-36134755.42                              |
| Month 2  | $18141805.58             | $23335455.42                               |
| Month 3  | $18493165.23             | $-2825176.73                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3            | CUSIP: 17307GXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9683 | PA      | $9606.42       | 0.00%             | 2035-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 13.9271 05/08/25-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-123725.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 5A1           | CUSIP: 05951VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       587058 | PA      | $504496.25     | 0.02%             | 2046-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A          | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |           71 | PA      | $31181.95      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-66                                                     | FANNIE MAE FNR 2023 66 AI                                | CUSIP: 3136BQA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10213122 | PA      | $2318518.61    | 0.09%             | 2053-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $1155.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | FWD075895 COLOMBIA GOVT NDF                              | CUSIP: 990AAUHM7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 105674300000 | PA      | $24776894.72   | 0.97%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1174219 | PA      | $1174218.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-5901.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                          | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1         | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       242510 | PA      | $244229.55     | 0.01%             | 2034-06-25      | Floating      | 4.97%                 | 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      | $18671.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-16932.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 1A1          | CUSIP: 863579GY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41017 | PA      | $39574.49      | 0.00%             | 2035-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A         | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13481 | PA      | $13206.21      | 0.00%             | 2035-06-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6102 FN 11/45 FIXED 3.5                      | CUSIP: 3138WFX84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85852 | PA      | $80615.49      | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $20653.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $201435.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1127406 | PA      | $1127406.25    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       656500 | PA      | $656500.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1          | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       597957 | PA      | $294092.30     | 0.01%             | 2036-03-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       190829 | PA      | $190828.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG        | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       600000 | PA      | $78000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                  | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1283507 | PA      | $594128.32     | 0.02%             | 2037-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-7Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-474858.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W2                                                  | FANNIEMAE WHOLE LOAN FNW 2001 W2 AF6                     | CUSIP: 313920XZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1264 | PA      | $1275.81       | 0.00%             | 2031-10-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAM2A9 PIMCO SWAPTION 3.55 CALL USD 2025102           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -4200000 | NC      | $-14656.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-24844.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                         | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2B          | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2192637 | PA      | $930874.56     | 0.04%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       198075 | PA      | $198075.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CTP NV                                                                        | CTP NV SR UNSECURED REGS 09/26 0.625                     | CUSIP: ACI20LM91<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |      1000000 | PA      | $1152401.91    | 0.05%             | 2026-09-27      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-WF1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2003 WF1 A2          | CUSIP: 04542BCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108873 | PA      | $108877.15     | 0.00%             | 2032-12-25      | Variable      | 5.40%                 | 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        |         2732 | PA      | $2795.32       | 0.00%             | 2035-05-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                     | ROGERS COMMUNICATIONS IN SUBORDINATED 144A 03/82 VAR     | CUSIP: 775109BS9<br>LEI: 5493000M6Z4XFIP6PF03 | Short            | DBT              | CORP              | CA        |     -1552000 | PA      | $-1542424.16   | -0.06%            | 2082-03-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2007-W1                                                 | FANNIEMAE WHOLE LOAN FNW 2007 W1 1AS                     | CUSIP: 31395D7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3352796 | PA      | $127694.59     | 0.01%             | 2046-11-25      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-4155.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $126673.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1962500 | PA      | $1962500.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/29 VAR               | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       500000 | PA      | $498871.86     | 0.02%             | 2029-04-23      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/2.25 06/20/18-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6090.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918        | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1627717.17    | 0.06%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375    | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |       600000 | PA      | $597985.98     | 0.02%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25             | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2800000 | PA      | $2576227.05    | 0.10%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-101.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP)                  | CELANESE US HOLDINGS LLC COMPANY GUAR 07/32 6.879        | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |     -3462000 | PA      | $-3539985.01   | -0.14%            | 2032-07-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                          | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A  | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25500000 | PA      | $25500000.00   | 1.00%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A            | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       910000 | PA      | $1233037.46    | 0.05%             | 2049-12-21      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN AXLE & MANUFACTURING INC                                             | AMERICAN AXLE + MFG INC COMPANY GUAR 10/29 5             | CUSIP: 02406PBB5<br>LEI: RY5TAKFOBLDUGX31MS24 | Short            | DBT              | CORP              | US        |     -3225000 | PA      | $-3066667.66   | -0.12%            | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-95                                                            | FANNIE MAE FNR 2002 95 DB                                | CUSIP: 31392HGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15196 | PA      | $15772.73      | 0.00%             | 2033-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                           | ASHTEAD CAPITAL INC COMPANY GUAR 144A 10/33 5.95         | CUSIP: 045054AR4<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $4865204.54    | 0.19%             | 2033-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                  | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3315225 | PA      | $1030279.52    | 0.04%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNIGEL (STICHTING ADMINISTRATIEKANTOOR UNIGEL CREDITORS)                      | STICHTING ADMINISTRATIEKAN DEPOSITORY RECEIPT NPV        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | NL        |        11319 | NS      | $0.01          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-68084.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2456250 | PA      | $2456250.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4          | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       665785 | PA      | $391235.66     | 0.02%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG        | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $156000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF10                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF10 M1          | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35931 | PA      | $35782.81      | 0.00%             | 2034-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       320625 | PA      | $320625.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO110626                               | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   1457309000 | PA      | $864632.08     | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                         | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/25 4.5       | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       108333 | PA      | $108202.87     | 0.00%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-3AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A3          | CUSIP: 61748HWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       174603 | PA      | $113109.90     | 0.00%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                        | WESCO DISTRIBUTION INC COMPANY GUAR 144A 03/32 6.625     | CUSIP: 95081QAR5<br>LEI: 549300I2CEZJG9N4AH67 | Short            | DBT              | CORP              | US        |     -2575000 | PA      | $-2679211.02   | -0.11%            | 2032-03-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A       | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       221081 | PA      | $211263.41     | 0.01%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        19600 | PA      | $19600.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                           | CENTENE CORP SR UNSECURED 12/27 4.25                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1670789.50    | 0.07%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORPORATION                                                    | SELECT MEDICAL CORP COMPANY GUAR 144A 12/32 6.25         | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Short            | DBT              | CORP              | US        |     -2400000 | PA      | $-2403237.60   | -0.09%            | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                           | SAXON ASSET SECURITIES TRUST SAST 2004 1 M1              | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54518 | PA      | $48340.28      | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 12/21/22-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $20052925.29   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $2792.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-10Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-110815.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-4042.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       466688 | PA      | $466687.50     | 0.02%             |  |  |  | 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        |        18429 | PA      | $17768.23      | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A         | CUSIP: 82639RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     24864545 | PA      | $13965793.29   | 0.55%             | 2039-09-07      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2076375 | PA      | $2076375.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-756.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $131.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C       | CUSIP: 02147DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       811961 | PA      | $668151.73     | 0.03%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 1A1         | CUSIP: 761118TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116951 | PA      | $75322.34      | 0.00%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2006-1X                                                          | EUROSAIL PLC ESAIL 2006 1X C1A REGS                      | CUSIP: G3299JAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5101929 | PA      | $5949313.24    | 0.23%             | 2044-06-10      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       604469 | PA      | $604468.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/2.41500 07/09/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-347356.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 05/29 VAR                      | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      1900000 | PA      | $1928588.33    | 0.08%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1907125 | PA      | $1907125.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-77239.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $8752.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY45 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2354445.88    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                               | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1                 | CUSIP: 31393YU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6210 | PA      | $6243.08       | 0.00%             | 2044-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSGC MORTGAGE PASS THROUGH CERTIFICATES 2008-A                               | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2008 A A1 144A      | CUSIP: 74928AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1339498 | PA      | $1121867.19    | 0.04%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260302                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-97746.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERATE CLO LTD 8A                                                           | GENERATE CLO 8 LTD. GNRT 8A A1R2 144A                    | CUSIP: 37148EAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $6032067.12    | 0.24%             | 2038-01-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     25000000 | PA      | $25000000.00   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1125000 | PA      | $1125000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20L                                      | SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1            | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        20429 | PA      | $20937.60      | 0.00%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| VICTORIAS SECRET & CO                                                         | VICTORIA S SECRET + CO COMPANY GUAR 144A 07/29 4.625     | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Short            | DBT              | CORP              | US        |      -848000 | PA      | $-810681.72    | -0.03%            | 2029-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008983 G2 09/26 FLOATING VAR                | CUSIP: 36202K6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          668 | PA      | $669.92        | 0.00%             | 2026-09-20      | Floating      | 5.00%                 | 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        |      1612913 | PA      | $1096897.14    | 0.04%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       692655 | PA      | $692655.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                         | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1            | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123780 | PA      | $119493.69     | 0.00%             | 2035-10-20      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $-1148016.40   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                          | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR            | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       600000 | PA      | $670170.00     | 0.03%             | 2031-05-27      | Floating      | 21.90%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-56                                                | COUNTRYWIDE HOME LOANS CWHL 2003 56 5A1                  | CUSIP: 12669FBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6980 | PA      | $7102.14       | 0.00%             | 2033-12-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6QBA5 PIMCO FPPSWAPTION 3.808 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     14700000 | NC      | $566583.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                                   | REPUBLIC OF PANAMA EUR TERM LOAN                         | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |      1900000 | PA      | $2234331.58    | 0.09%             | 2027-03-05      | Floating      | 3.84%                 | No            |                  3 | On Loan: No      |
| RESIDEO FUNDING INC                                                           | RESIDEO FUNDING INC COMPANY GUAR 144A 07/32 6.5          | CUSIP: 76119LAD3<br>LEI: 5493000IFJ6XJKH66598 | Short            | DBT              | CORP              | US        |      -450000 | PA      | $-461769.75    | -0.02%            | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                                    | AIR CANADA SR SECURED 144A 08/29 4.625                   | CUSIP: 008911BJ7<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |       800000 | PA      | $574894.01     | 0.02%             | 2029-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-1387.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 698103 GN 04/39 FIXED 5                        | CUSIP: 36296QRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43880 | PA      | $45013.53      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1        | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2367809 | PA      | $1967037.76    | 0.08%             | 2047-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABEA0 PIMCO SWAPTION 3.807 PUT USD 2025100           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1600000 | NC      | $-424.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        82896 | PA      | $82896.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $495211.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       289438 | PA      | $289437.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 11A1        | CUSIP: 466278AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3628634 | PA      | $1845251.68    | 0.07%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                                  | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B             | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |      4700000 | PA      | $5442165.09    | 0.21%             | 2032-04-26      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 1A1           | CUSIP: 05952DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       633506 | PA      | $611661.23     | 0.02%             | 2047-02-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQUITY LN TR 1998-1                                        | DELTA FUNDING HOME EQUITY LOAN DELHE 1998 1 A5F          | CUSIP: 24763LDB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42958 | PA      | $42458.86      | 0.00%             | 2030-05-25      | Variable      | 7.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       201300 | PA      | $201300.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/8.75000 06/25/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |            1 | NC      | $-27939.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A7         | CUSIP: 12668BNA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       542510 | PA      | $233935.13     | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $2531.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PARIBAS REPO                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        10112 | PA      | $10112.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                                 | FANNIEMAE WHOLE LOAN FNW 2003 W8 1IO2                    | CUSIP: 31393CW74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6607964 | PA      | $364252.14     | 0.01%             | 2042-12-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $141.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       160125 | PA      | $160125.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                          | GSAMP TRUST GSAMP 2006 FM1 A2D                           | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1909647 | PA      | $1295849.45    | 0.05%             | 2036-04-25      | Floating      | 4.81%                 | 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        |         1376 | PA      | $1353.09       | 0.00%             | 2034-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                             | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1           | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1676 | PA      | $1672.48       | 0.00%             | 2042-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US LONG BOND(CBT) DEC25 XCBT 20251219                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -735 | NC      | $-1855847.22   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC0822 FN 04/46 FIXED 3.5                      | CUSIP: 3140EU4G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40129 | PA      | $37615.61      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A2              | CUSIP: 31394JD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21137 | PA      | $22391.48      | 0.00%             | 2043-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-6392.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                 | CUSIP: 40412BXF5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      2950000 | PA      | $2944343.97    | 0.12%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                             | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR               | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |       600000 | PA      | $600240.00     | 0.02%             | 2032-04-08      | Floating      | 11.71%                | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | HARDWOOD FUNDING LLC CORP0HRD7                           | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1316902.22    | 0.05%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       853125 | PA      | $853125.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 2A1          | CUSIP: 61748HBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2927 | PA      | $2816.95       | 0.00%             | 2034-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                        | VENTURE GLOBAL LNG INC SR SECURED 144A 06/28 8.125       | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       370000 | PA      | $383234.90     | 0.02%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $694.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                                                 | LGI HOMES INC COMPANY GUAR 144A 11/32 7                  | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Short            | DBT              | CORP              | US        |     -1800000 | PA      | $-1759500.00   | -0.07%            | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104700000 | PA      | $106497680.15  | 4.18%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                 | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS             | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       343875 | PA      | $457184.52     | 0.02%             | 2044-06-12      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A      | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       139229 | PA      | $115245.89     | 0.00%             | 2036-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2004-11                                                       | IMPAC CMB TRUST IMM 2004 11 2A1                          | CUSIP: 45254NMB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36690 | PA      | $33891.72      | 0.00%             | 2035-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                   | REPUBLIC OF TURKIYE SR UNSECURED 05/34 7.625             | CUSIP: 900123DK3<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      5500000 | PA      | $5844766.95    | 0.23%             | 2034-05-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251009                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-895.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.89000 03/03/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-27270.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-7                                                 | GSAA HOME EQUITY TRUST GSAA 2007 7 A5                    | CUSIP: 36249BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31411890 | PA      | $16864949.56   | 0.66%             | 2037-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR          | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |       650000 | PA      | $643645.13     | 0.03%             | 2028-11-03      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $10730.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1152250 | PA      | $1152250.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080119 G2 10/27 FLOATING VAR                | CUSIP: 36225CDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3043 | PA      | $3073.95       | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-461665.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 959604 FN 11/37 FIXED 6.5                      | CUSIP: 31413YRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27908 | PA      | $29573.70      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CBAM LTD 2019-11RA                                                            | CBAM CLO MANAGEMENT CBAM 2019 11RA A1 144A               | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2007650.76    | 0.08%             | 2035-01-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                                 | VW CR INC 10/25 ZCP                                      | CUSIP: 91842JXE4<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |       250000 | PA      | $249578.23     | 0.01%             | 2025-10-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA1                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A21         | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1015555 | PA      | $680599.73     | 0.03%             | 2036-01-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A          | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6044 | PA      | $5919.55       | 0.00%             | 2034-05-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1954625 | PA      | $1954625.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| ADAPTHEALTH LLC                                                               | ADAPTHEALTH LLC COMPANY GUAR 144A 08/29 4.625            | CUSIP: 00653VAC5<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -2495000 | PA      | $-2362180.92   | -0.09%            | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4          | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10119 | PA      | $9951.19       | 0.00%             | 2036-06-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF3        | CUSIP: 1248MGAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1088123 | PA      | $303627.28     | 0.01%             | 2037-01-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                          | BAYER US FINANCE LLC BAYER US FINANCE LLC                | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $2031245.14    | 0.08%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                                | FREMONT HOME LOAN TRUST FHLT 2006 A 2A4                  | CUSIP: 35729RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7847585 | PA      | $5101666.22    | 0.20%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITIUS FUNDING LTD-2006-1A                                                    | CITIUS FUNDING LTD CTIUS 2006 1A LT 144A                 | CUSIP: 17305CAH2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    435815898 | PA      | $4.36          | 0.00%             | 2046-05-05      | Floating      | 7.75%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1016250 | PA      | $1016250.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/42 2.375                              | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     12200000 | PA      | $9044441.45    | 0.36%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE LLC                                                                 | COMMSCOPE LLC SR SECURED 144A 09/29 4.75                 | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Short            | DBT              | CORP              | US        |     -3669000 | PA      | $-3650031.27   | -0.14%            | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                                | COUNTRYWIDE HOME LOANS CWHL 2007 10 A2                   | CUSIP: 12545CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       394638 | PA      | $157093.69     | 0.01%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                                             | LITHIA MOTORS INC COMPANY GUAR 144A 01/31 4.375          | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Short            | DBT              | CORP              | US        |       -15000 | PA      | $-14255.66     | -0.00%            | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 002897 G2 03/30 FIXED 8                     | CUSIP: 36202DGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2613 | PA      | $2744.81       | 0.00%             | 2030-03-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 1A3A       | CUSIP: 92922F8M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285979 | PA      | $277355.94     | 0.01%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                        | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1         | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       299276 | PA      | $282534.47     | 0.01%             | 2036-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $6163.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEMOURS COMPANY                                                              | CHEMOURS CO COMPANY GUAR 05/27 5.375                     | CUSIP: 163851AE8<br>LEI: 549300M1BOLNXL8DOV14 | Short            | DBT              | CORP              | US        |     -2268000 | PA      | $-2267985.78   | -0.09%            | 2027-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 01/35 11.75                   | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  50221000000 | PA      | $12767831.56   | 0.50%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A4          | CUSIP: 542514RM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1396258 | PA      | $1232871.17    | 0.05%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    332800000 | NC      | $294960.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                  | HUDSON PACIFIC PROPERTIE COMPANY GUAR 01/30 3.25         | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Short            | DBT              | CORP              | US        |       -60000 | PA      | $-51583.19     | -0.00%            | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $127056.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY MTGE TRUST 2006-2                                                 | HOME EQUITY MORTGAGE TRUST HEMT 2006 2 1A1               | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131092 | PA      | $12003.72      | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-9040.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2C             | CUSIP: 617538AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       615008 | PA      | $308828.12     | 0.01%             | 2036-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                       | CHASEFLEX TRUST CFLX 2007 M1 2F4                         | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1126710 | PA      | $960148.06     | 0.04%             | 2037-08-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2913750 | PA      | $2913750.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                   | ASBURY AUTOMOTIVE GROUP COMPANY GUAR 144A 02/32 5        | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Short            | DBT              | CORP              | US        |     -1150000 | PA      | $-1105141.26   | -0.04%            | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $5466.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.84200 03/04/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-25999.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP LLC                                                    | AVIATION CAPITAL GROUP AVIATION CAPITAL GROUP            | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2049533.32    | 0.08%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                               | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                  | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3283036 | PA      | $895238.90     | 0.04%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -7400000 | NC      | $-269.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $4703865.84    | 0.18%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                      | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1        | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64186 | PA      | $43012.15      | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4959                                                       | FREDDIE MAC FHR 4959 IO                                  | CUSIP: 3137FRNT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5964232 | PA      | $979818.29     | 0.04%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1SB 144A           | CUSIP: 078446AG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20259488 | PA      | $5284910.27    | 0.21%             | 2044-11-03      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 2A1A        | CUSIP: 93934FPT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66225 | PA      | $54548.12      | 0.00%             | 2046-05-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)DEC25 XCBT 20251219                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          443 | NC      | $-144867.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH4959 FN 08/47 FIXED 3.5                      | CUSIP: 3140GTQM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       423665 | PA      | $396070.01     | 0.02%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1127500 | PA      | $1127500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $174.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251208                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $2525.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       172219 | PA      | $172218.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.5661 06/18/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2493194.68   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5122                                                       | FREDDIE MAC FHR 5122 BI                                  | CUSIP: 3137H1AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10689091 | PA      | $2144387.64    | 0.08%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      4125000 | PA      | $4125000.00    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                          | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1           | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2168 | PA      | $1910.35       | 0.00%             | 2035-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                                                         | CAMPBELL SOUP CO.                                        | CUSIP: 13443CX97<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |       250000 | PA      | $249724.28     | 0.01%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.50000 03/18/26-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $46791.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $183199.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                                  | ENTEGRIS INC COMPANY GUAR 144A 06/30 5.95                | CUSIP: 29365BAB9<br>LEI: IYX6OWO7BT5DKO3BYG52 | Short            | DBT              | CORP              | US        |       -41000 | PA      | $-41624.64     | -0.00%            | 2030-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                                                          | BLUE OWL FINANCE LLC COMPANY GUAR 06/31 3.125            | CUSIP: 09581JAR7<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1731178.27    | 0.07%             | 2031-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                        | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A3         | CUSIP: 12465MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       782926 | PA      | $356548.00     | 0.01%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                          | FREDDIEMAC STRIP FHS 362 C4                              | CUSIP: 31325W4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2909694 | PA      | $487799.50     | 0.02%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND FUTURE  DEC25 XEUR 20251208                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -352 | NC      | $-175235.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        23562 | PA      | $23562.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                       | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2A         | CUSIP: 84752CAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       591817 | PA      | $305234.19     | 0.01%             | 2037-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-8129.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                                        | ENERGIZER HOLDINGS INC COMPANY GUAR 144A 03/29 4.375     | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Short            | DBT              | CORP              | US        |     -3676000 | PA      | $-3530320.49   | -0.14%            | 2029-03-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                       | DOMINICAN REPUBLIC SR UNSECURED 144A 01/41 5.3           | CUSIP: 25714PEG9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      2050000 | PA      | $1858325.00    | 0.07%             | 2041-01-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A         | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       459626 | PA      | $382341.36     | 0.02%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $578.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACCO BRANDS CORPORATION                                                       | ACCO BRANDS CORP COMPANY GUAR 144A 03/29 4.25            | CUSIP: 00081TAK4<br>LEI: JCT8P4Y190IH4I1NX328 | Short            | DBT              | CORP              | US        |     -2967000 | PA      | $-2682574.18   | -0.11%            | 2029-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $717131.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                       | BCAP LLC TRUST BCAP 2011 RR4 8A2 144A                    | CUSIP: 05533XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       243140 | PA      | $142.97        | 0.00%             | 2036-02-26      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5163                                                       | FREDDIE MAC FHR 5163 KI                                  | CUSIP: 3137H43Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2982673 | PA      | $472492.69     | 0.02%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |     -5000000 | NC      | $-1212.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                       | BCAP LLC TRUST BCAP 2011 RR6 5A2 144A                    | CUSIP: 05535YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147535 | PA      | $72193.07      | 0.00%             | 2037-04-26      | Variable      | 26.54%                | No            |                  2 | On Loan: No      |
| AMENTUM HOLDINGS INC                                                          | AMENTUM ESCROW CORP AMENTUM ESCROW CORP                  | CUSIP: 02352BAA3<br>LEI: 2549009FJIBLW40CU216 | Short            | DBT              | CORP              | US        |     -4542000 | PA      | $-4719869.26   | -0.19%            | 2032-08-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-51193.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -20 | NC      | $-5635.44      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-4548.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3026875 | PA      | $3026875.00    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                    | MARRIOTT INTERNATIONAL SR UNSECURED 10/33 2.75           | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1476818.02    | 0.06%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                           | FANNIE MAE FNR 2006 118 A2                               | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12730 | PA      | $12515.85      | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 03/27 2.5                                | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6300000 | PA      | $6194671.88    | 0.24%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3457.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                    | SPRINT LLC COMPANY GUAR 03/26 7.625                      | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |      6600000 | PA      | $6614902.14    | 0.26%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-1561.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR11                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR11 A          | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50959 | PA      | $49901.41      | 0.00%             | 2034-10-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ1850 FN 11/47 FIXED 4                        | CUSIP: 3140H3BU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19727 | PA      | $18964.12      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                                        | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1A1D         | CUSIP: 68383NCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1299972 | PA      | $1283894.69    | 0.05%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-12                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 12 MV5           | CUSIP: 126673NX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       733638 | PA      | $732846.13     | 0.03%             | 2035-02-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/32 VAR                      | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      4400000 | PA      | $3966506.68    | 0.16%             | 2032-11-24      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1850125 | PA      | $1850125.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM3281 FN 01/48 FIXED VAR                      | CUSIP: 3140J7UF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99139 | PA      | $92108.69      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $37155.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080032 G2 01/27 FLOATING VAR                | CUSIP: 36225CBA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          160 | PA      | $160.16        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2D                | CUSIP: 66988RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2687320 | PA      | $886595.31     | 0.03%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3W                                       | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3W AF5          | CUSIP: 75971FAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2723620 | PA      | $1930833.95    | 0.08%             | 2037-09-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                                | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                  | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3517720 | PA      | $3171697.88    | 0.12%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $6851.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XENIA HOTELS & RESORTS (XHR LP)                                               | XHR LP COMPANY GUAR 144A 05/30 6.625                     | CUSIP: 98372MAE5<br>LEI: 549300M88BPT83ZL2164 | Short            | DBT              | CORP              | US        |       -20000 | PA      | $-20574.46     | -0.00%            | 2030-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1164000 | PA      | $1164000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/33 1.375                              | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20421696 | PA      | $20114813.05   | 0.79%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 2A          | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2022 | PA      | $1980.14       | 0.00%             | 2033-09-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     20799780 | PA      | $20799780.25   | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-641.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260305                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2861.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1        | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       404191 | PA      | $382238.31     | 0.02%             | 2036-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                          | LIFEPOINT HEALTH INC 2024 INCREMENTAL TERM LOAN B1       | CUSIP: 75915TAL6<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |      2475052 | PA      | $2467131.69    | 0.10%             | 2031-05-19      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $38218.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A          | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2865 | PA      | $2608.18       | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH2597 FN 08/47 FIXED 4                        | CUSIP: 3140GQ3F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24246 | PA      | $23324.91      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 07/29 5              | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |     -2975000 | PA      | $-2875172.09   | -0.11%            | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/45 2.5                                | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        20000 | PA      | $14332.03      | 0.00%             | 2045-02-15      | Fixed         | 2.50%                 | 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        |      1800000 | PA      | $1860570.00    | 0.07%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-144                                                    | FANNIE MAE FNR 2011 144 LS                               | CUSIP: 3136A23W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3537073 | PA      | $508196.00     | 0.02%             | 2042-01-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                              | CINEMARK USA INC COMPANY GUAR 144A 07/28 5.25            | CUSIP: 172441BF3<br>LEI: 54930008H2137JSCPQ09 | Short            | DBT              | CORP              | US        |     -1114000 | PA      | $-1108821.68   | -0.04%            | 2028-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       182656 | PA      | $182656.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                             | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A           | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2900000 | PA      | $2902710.22    | 0.11%             | 2034-08-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2D             | CUSIP: 61753VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1377832 | PA      | $436664.51     | 0.02%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MASTERBRAND INC                                                               | MASTERBRAND INC MASTERBRAND INC                          | CUSIP: 57638PAA2<br>LEI: 549300E0Y4BR5Z9RDZ64 | Short            | DBT              | CORP              | US        |     -3091000 | PA      | $-3198446.25   | -0.13%            | 2032-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080124 G2 10/27 FLOATING VAR                | CUSIP: 36225CD60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          106 | PA      | $105.77        | 0.00%             | 2027-10-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251128                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-178938.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-48154.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $4771.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 3A3        | CUSIP: 93363NAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       344206 | PA      | $304747.80     | 0.01%             | 2036-10-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080395 G2 04/30 FLOATING VAR                | CUSIP: 36225CNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2480 | PA      | $2484.82       | 0.00%             | 2030-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-41070.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3          | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       453608 | PA      | $225365.60     | 0.01%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       224719 | PA      | $224719.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UA9UA7 PIMCO SWAPTION 2.61 CALL EUR 2025100           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1700000 | NC      | $-146.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       321750 | PA      | $321750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A4               | CUSIP: 466247ZR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31673 | PA      | $13358.73      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.84200 09/19/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4984812.21    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -7500000 | NC      | $-45743.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/40 9            | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    266700000 | PA      | $14141740.47   | 0.56%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B       | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40864 | PA      | $39991.55      | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A1        | CUSIP: 02147LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       356386 | PA      | $195197.37     | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA 144A 10/27 VAR                                   | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      7800000 | PA      | $7978422.58    | 0.31%             | 2027-10-19      | Floating      | 6.61%                 | 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        |      1000000 | PA      | $993456.77     | 0.04%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A1                  | CUSIP: 362611AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       318988 | PA      | $138557.52     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2002-2                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2002 2 M2           | CUSIP: 542514CK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72125 | PA      | $71552.29      | 0.00%             | 2032-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1          | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83416 | PA      | $83467.90      | 0.00%             | 2034-01-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR             | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1400000 | PA      | $1471820.00    | 0.06%             | 2032-03-13      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO X BV 10A                                                    | ARES EUROPEAN CLO ARESE 10A AR 144A                      | CUSIP: ACI1Y2RR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6281449 | PA      | $7373263.99    | 0.29%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A3               | CUSIP: 46630PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16327 | PA      | $12240.34      | 0.00%             | 2037-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| CINEMARK USA INC                                                              | CINEMARK USA INC COMPANY GUAR 144A 08/32 7               | CUSIP: 172441BH9<br>LEI: 54930008H2137JSCPQ09 | Short            | DBT              | CORP              | US        |     -2375000 | PA      | $-2470470.25   | -0.10%            | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| KODIAK GAS SERVICES LLC                                                       | KODIAK GAS SERVICES LLC COMPANY GUAR 144A 10/33 6.5      | CUSIP: 50012LAD6<br>LEI: 549300ZQBRWEUOVOM131 | Short            | DBT              | CORP              | US        |     -1100000 | PA      | $-1120680.92   | -0.04%            | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1000000 | PA      | $1033539.94    | 0.04%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $37265.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $1780.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251106                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $41062.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45           | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       400000 | PA      | $336077.89     | 0.01%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-3                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 3 4A            | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259821 | PA      | $135478.48     | 0.01%             | 2036-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-145728.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $10.99         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2957656 | PA      | $2957656.25    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY PREFERRED STOCK 7.5                | CUSIP: 949746804<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |         3500 | NS      | $4320015.00    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| DELTA AIR LINES INC                                                           | DELTA AIR LINES INC SR UNSECURED 01/26 7.375             | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      6900000 | PA      | $6933531.79    | 0.27%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-96                                                     | FANNIE MAE FNR 2021 96 GI                                | CUSIP: 3136BKYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5458566 | PA      | $968143.90     | 0.04%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-7                                          | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 7 4A1           | CUSIP: 007036MX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60952 | PA      | $56780.83      | 0.00%             | 2035-10-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       475000 | PA      | $475613.23     | 0.02%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2005-2                                              | NELNET STUDENT LOAN TRUST NSLT 2005 2 A5                 | CUSIP: 64031QBX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        44268 | PA      | $43969.75      | 0.00%             | 2037-03-23      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/28 VAR                      | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      1000000 | PA      | $1060730.36    | 0.04%             | 2028-11-02      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| UNIGEL LUXEMBOURG SA                                                          | UNIGEL LUXEMBOURG SA SR SECURED 144A 12/27 VAR           | CUSIP: 904752AC6<br>LEI: 213800Y16R77O7LH7X62 | Long             | DBT              | CORP              | LU        |      1374101 | PA      | $1058057.77    | 0.04%             | 2027-12-31      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2989833.77   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 47CB A11       | CUSIP: 12668AAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183818 | PA      | $95471.09      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $195859.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B         | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1560898 | PA      | $768280.68     | 0.03%             | 2037-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1         | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       461855 | PA      | $445327.92     | 0.02%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-17826.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       186594 | PA      | $186593.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $9567.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 2A1         | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       511351 | PA      | $450934.60     | 0.02%             | 2037-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251014                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $44798.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-3F                                               | GSR MORTGAGE LOAN TRUST GSR 2007 3F 3A2                  | CUSIP: 3622MWAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160218 | PA      | $115692.75     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260617                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $183.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $137.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 4A1          | CUSIP: 61749LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       255410 | PA      | $247410.41     | 0.01%             | 2036-06-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 831872 FN 11/36 FIXED 6.5                      | CUSIP: 31407JFM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       168976 | PA      | $178636.98     | 0.01%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $4445.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2793000 | PA      | $2793000.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 11/25 0.00000                              | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        48000 | PA      | $47691.09      | 0.00%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                       | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7          | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9816 | PA      | $9437.29       | 0.00%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                                        | ROMARK CLO LTD RMRK 2017 1A A1R 144A                     | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       875158 | PA      | $875646.52     | 0.03%             | 2030-10-23      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 3A1           | CUSIP: 05952GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39233 | PA      | $33930.29      | 0.00%             | 2037-06-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       208162 | PA      | $208162.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 01/26 4.375                    | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       900000 | PA      | $900070.43     | 0.04%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1          | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8866 | PA      | $8164.32       | 0.00%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CWHL-2007-12                                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 12 A9                   | CUSIP: 17025LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5966551 | PA      | $2955374.04    | 0.12%             | 2037-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.65                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |      1500000 | PA      | $1535589.00    | 0.06%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                         | CUSIP: 49271JXF9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $998215.80     | 0.04%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA2 3A1        | CUSIP: 94985FAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       519318 | PA      | $376256.36     | 0.01%             | 2037-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -3900000 | NC      | $-1055.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 11/33 VAR                      | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      1800000 | PA      | $2065942.64    | 0.08%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR4                                             | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A              | CUSIP: 23332UEM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6718 | PA      | $6029.28       | 0.00%             | 2045-08-19      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       537500 | PA      | $537500.00     | 0.02%             |  |  |  | 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        |     50318480 | PA      | $48785867.66   | 1.92%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 745948 FN 10/36 FIXED VAR                      | CUSIP: 31403DWH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22742 | PA      | $24036.67      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                   | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          151 | PA      | $147.42        | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC JR SUBORDINA 12/99 VAR                 | CUSIP: ACI1SQVK7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      1700000 | PA      | $2258207.25    | 0.09%             | 2027-05-12      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       130469 | PA      | $130468.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-3542.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT DEC25 XCBT 20251219                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          586 | NC      | $1950531.02    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       428000 | PA      | $428000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       198750 | PA      | $198750.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2004-AR6                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR6 5A1         | CUSIP: 45660NX83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       501079 | PA      | $479333.49     | 0.02%             | 2034-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-34                                                            | FANNIE MAE FNR 2003 34 A1                                | CUSIP: 31393CEY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6159 | PA      | $6236.17       | 0.00%             | 2043-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A          | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10203640 | PA      | $10211573.08   | 0.40%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3W                                       | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3W AF6          | CUSIP: 75971FAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2579195 | PA      | $1829261.07    | 0.07%             | 2037-09-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | JPN 10Y BOND(OSE) DEC25 XOSE 20251215                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -120 | NC      | $1044675.25    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 02/30 5.375                 | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      5400000 | PA      | $5576682.76    | 0.22%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/34 FIXED 3.401  | CUSIP: 88880LAR4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       400000 | PA      | $347591.92     | 0.01%             | 2034-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $699.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL LLC                                                    | HUNTSMAN INTERNATIONAL L SR UNSECURED 05/29 4.5          | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Short            | DBT              | CORP              | US        |     -1150000 | PA      | $-1101026.25   | -0.04%            | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 4A1         | CUSIP: 12668AQH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       921022 | PA      | $820118.36     | 0.03%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       199000 | PA      | $199000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 06/29 6.625          | CUSIP: 42704LAE4<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |     -3675000 | PA      | $-3778829.78   | -0.15%            | 2029-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A3       | CUSIP: 02149CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       640222 | PA      | $313563.73     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                       | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A             | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40425 | PA      | $37681.64      | 0.00%             | 2043-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                                 | FANNIEMAE STRIP FNS 440 C54                              | CUSIP: 31424U8J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17615134 | PA      | $3815492.06    | 0.15%             | 2053-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-7709.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/36 FIXED 3.487  | CUSIP: 38122ND41<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      2500000 | PA      | $2129793.75    | 0.08%             | 2036-06-01      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A     | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      3200000 | PA      | $3211364.70    | 0.13%             | 2035-04-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2004-OP1                             | SECURITIZED ASSET BACKED RECEI SABR 2004 OP1 M1          | CUSIP: 81375WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       239980 | PA      | $239306.12     | 0.01%             | 2034-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $20767.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE 10/25 ZCP                                   | CUSIP: 22823PX99<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |       250000 | PA      | $249711.78     | 0.01%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $115301.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 606116 FN 09/31 FLOATING VAR                   | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2743 | PA      | $2772.65       | 0.00%             | 2031-09-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A            | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       260000 | PA      | $345897.38     | 0.01%             | 2049-12-21      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 894893 FN 10/36 FIXED 6.5                      | CUSIP: 31410RGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          716 | PA      | $739.06        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | NOMURA REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2456168 | PA      | $2456168.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                       | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 10.75         | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     74800000 | PA      | $1303276.83    | 0.05%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-200505.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1094500 | PA      | $1094500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-32717.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-47.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORPORATION                                                  | TENET HEALTHCARE CORP COMPANY GUAR 10/28 6.125           | CUSIP: 88033GDK3<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Short            | DBT              | CORP              | US        |     -2375000 | PA      | $-2378393.80   | -0.09%            | 2028-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3255000 | PA      | $3255000.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 07/31 5.25           | CUSIP: 382550BR1<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |     -1325000 | PA      | $-1245741.42   | -0.05%            | 2031-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA3 1A1        | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1677274 | PA      | $1556959.34    | 0.06%             | 2047-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-2714.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2450500 | PA      | $2450500.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR GROUP FINANCE CO XII LLC                                                  | KKR GROUP FINAN CO XII COMPANY GUAR 144A 05/32 4.85      | CUSIP: 48255GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1011318.82    | 0.04%             | 2032-05-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                                 | INTERCONTINENTALEXCHANGE SR UNSECURED 09/32 1.85         | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1183519.40    | 0.05%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                               | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2               | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577669 | PA      | $555152.34     | 0.02%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2087500 | PA      | $2087500.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                | AUTONATION, INC                                          | CUSIP: 05330LX81<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1398519.64    | 0.05%             | 2025-10-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A          | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       182992 | PA      | $154670.39     | 0.01%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2189000 | PA      | $2189000.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-42521.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                    | CAPITAL FOUR CLO CFOUR 10A A 144A                        | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2800000 | PA      | $3292641.05    | 0.13%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                              | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27975 | PA      | $26195.44      | 0.00%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875        | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    305300000 | PA      | $17367804.57   | 0.68%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-1                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 1 3A1           | CUSIP: 22541SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20191 | PA      | $20292.30      | 0.00%             | 2034-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       230725 | PA      | $230725.00     | 0.01%             |  |  |  | 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        |      1227260 | PA      | $589504.51     | 0.02%             | 2036-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | NOMURA REPO                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      5962344 | PA      | $5962343.75    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XII BV 12A                                                  | ARES EURO CLO ARESE 12A AR 144A                          | CUSIP: ACI20RGN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2889449 | PA      | $3396003.11    | 0.13%             | 2032-04-20      | Floating      | 2.87%                 | 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      | $-710579.09    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1044450 | PA      | $1044450.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2          | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       758375 | PA      | $496028.20     | 0.02%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                  | ACE SECURITIES CORP. ACE 2006 FM2 A2C                    | CUSIP: 00442CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1497317 | PA      | $337801.52     | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-78                                                     | FANNIE MAE FNR 2021 78 HI                                | CUSIP: 3136BJZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8401790 | PA      | $1579761.65    | 0.06%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      4242000 | PA      | $4242000.00    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA2578 FN 04/46 FIXED 3.5                      | CUSIP: 31418B2L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72359 | PA      | $67855.80      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-39063.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-173067.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INEOS FINANCE PLC                                                             | INEOS FINANCE PLC SR SECURED 144A 08/30 5.625            | CUSIP: ACI2TKLW2<br>LEI: 2138002D68XDR4LZCG32 | Long             | DBT              | CORP              | GB        |      1500000 | PA      | $1694636.73    | 0.07%             | 2030-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ3970 FN 01/48 FIXED 3.5                      | CUSIP: 3140H5MU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       186386 | PA      | $178742.70     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) DEC25 XCBT 20251231                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         3607 | NC      | $568035.73     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A14                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A14 A5          | CUSIP: 45660LT41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226838 | PA      | $100555.98     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) DEC25 XCBT 20251231                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         4087 | NC      | $604818.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A          | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |           71 | PA      | $740837.68     | 0.03%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC)                       | PERRIGO FINANCE UNLIMITE PERRIGO FINANCE UNLIMITE        | CUSIP: 71429MAD7<br>LEI: 549300E86RB6YCTMRM83 | Short            | DBT              | CORP              | IE        |     -3250000 | PA      | $-3274488.72   | -0.13%            | 2032-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        51740 | PA      | $51740.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST SERIES 2006-NC2 2006-NC2                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC2 A4          | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1807181 | PA      | $1740011.41    | 0.07%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-47.66        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-6A                                             | STRUCTURED ASSET SECURITIES CO SASC 2003 6A 2A1          | CUSIP: 86359AMR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14296 | PA      | $14119.15      | 0.00%             | 2033-03-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAM1A0 PIMCO SWAPTION 3.85 PUT USD 20251027           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -4200000 | NC      | $-7136.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                       | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2          | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       534679 | PA      | $300861.48     | 0.01%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-43799.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-9                                                      | FANNIE MAE FNR 2024 9 AI                                 | CUSIP: 3136BRGW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8659757 | PA      | $1480215.76    | 0.06%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  MAR26 XCME 20260616                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          316 | NC      | $-160379.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85000000 | PA      | $87900698.95   | 3.45%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3999500 | PA      | $3999500.00    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6QAA6 PIMCO FPPSWAPTION 3.808 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     14700000 | NC      | $1091258.91    | 0.04%             |  |  |  | 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        |        24817 | PA      | $24222.58      | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                           | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR             | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2300000 | PA      | $2403500.00    | 0.09%             | 2027-04-05      | Floating      | 12.64%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  DEC25 XCME 20260317                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          316 | NC      | $-251229.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                  | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |     12878308 | PA      | $126349075.71  | 4.96%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 065581 FN 08/28 FLOATING VAR                   | CUSIP: 31362M2N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          363 | PA      | $358.97        | 0.00%             | 2028-08-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-74672.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    285400000 | NC      | $252950.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 05/30 VAR            | CUSIP: 60687YBX6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |      3800000 | PA      | $3667211.09    | 0.14%             | 2030-05-22      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2003-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A15 1A2         | CUSIP: 45660NWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40599 | PA      | $38523.98      | 0.00%             | 2034-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4            | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3989952 | PA      | $723647.68     | 0.03%             | 2036-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                 | CUSIP: 73110JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2300000 | PA      | $2395220.00    | 0.09%             | 2027-01-07      | Floating      | 17.18%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                           | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2        | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1928340 | PA      | $1875660.04    | 0.07%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BA5039 FN 01/46 FIXED 3.5                      | CUSIP: 3140E9S56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74055 | PA      | $69661.01      | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-1                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 1 A2                    | CUSIP: 126694XC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2879 | PA      | $1432.28       | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $456041.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 07/27 5.5            | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |     -5000000 | PA      | $-4991232.00   | -0.20%            | 2027-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-378.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-9682.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-296.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIGNAL PEAK CLO 6 LTD 2020-8A                                                 | SIGNAL PEAK CLO, LLC SPEAK 2020 8A A1R 144A              | CUSIP: 826937AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2125000 | PA      | $2135755.69    | 0.08%             | 2037-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4640.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $24257.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3849055 | PA      | $3849055.00    | 0.15%             |  |  |  | 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        |     29285000 | PA      | $9342134.72    | 0.37%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL MGM RESORTS INTL                        | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Short            | DBT              | CORP              | US        |     -3100000 | PA      | $-3157403.94   | -0.12%            | 2029-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $24832.89      | 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      | $-23786.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1208156 | PA      | $1208156.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE2                                       | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE2 A4         | CUSIP: 93934JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1122128 | PA      | $881483.59     | 0.03%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3269.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                         | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR             | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |      3200000 | PA      | $3779559.09    | 0.15%             | 2027-02-23      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1144000 | PA      | $1144000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CA CARBON ALLOW 25DEC25 IFED 20251224                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          920 | NC      | $2105885.59    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BARCLAYS REV REPO EUR                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -1450605 | PA      | $-1704342.68   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6803083 | PA      | $2106846.86    | 0.08%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/32 4.95    | CUSIP: 05401ABC4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       800000 | PA      | $790629.10     | 0.03%             | 2032-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                         | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1          | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       488555 | PA      | $476567.77     | 0.02%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3150.22       | 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        |      3250000 | PA      | $3008219.40    | 0.12%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6                | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21689268 | PA      | $22545715.92   | 0.89%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP                                                    | PENSKE TRUCK LEASING CO LP / P 10/25 ZCP                 | CUSIP: 70962AX27<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |       250000 | PA      | $249940.25     | 0.01%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       199000 | PA      | $199000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-35733.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 323919 FN 08/29 FLOATING VAR                   | CUSIP: 31374TYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1168 | PA      | $1175.38       | 0.00%             | 2029-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3622                                                       | FREDDIE MAC FHR 3622 WA                                  | CUSIP: 31398LXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16511 | PA      | $16875.78      | 0.00%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3997.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A2         | CUSIP: 45660L4H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       744332 | PA      | $245921.94     | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-4255.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.50000 06/20/24-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1497790.44    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 4A1         | CUSIP: 12667GPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11754 | PA      | $11428.60      | 0.00%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP UAG                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $39490.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/47 3.95           | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       600000 | PA      | $449018.40     | 0.02%             | 2047-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 8A1          | CUSIP: 225470SB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       642343 | PA      | $393887.78     | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M6             | CUSIP: 61744CRW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3733344.80    | 0.15%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1          | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17866 | PA      | $16733.26      | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 09/18/24-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $2805691.06    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                        | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3C          | CUSIP: 78420MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1926288 | PA      | $1822448.10    | 0.07%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-33                                                            | FANNIE MAE FNR 2002 33 A2                                | CUSIP: 31392DGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7602 | PA      | $7631.76       | 0.00%             | 2032-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2460000 | PA      | $2460000.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1         | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       174680 | PA      | $146065.74     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-4844.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES XXXIX CLO LTD 2016-39A                                                   | ARES CLO LTD ARES 2016 39A AR3 144A                      | CUSIP: 04015WBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7022714.65    | 0.28%             | 2037-07-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 1A12      | CUSIP: 12668AZX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       241844 | PA      | $205001.84     | 0.01%             | 2035-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| HILLENBRAND INC                                                               | HILLENBRAND INC COMPANY GUAR 02/29 6.25                  | CUSIP: 431571AF5<br>LEI: U246OE781574J2BUD366 | Short            | DBT              | CORP              | US        |     -2300000 | PA      | $-2360954.60   | -0.09%            | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COTY INC/HFC PRESTIGE PRODUCTS INC/HFC PRESTIGE INTERNATIONAL US LLC          | COTY/HFC PRESTIGE/INT US SR SECURED 144A 01/29 4.75      | CUSIP: 222070AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7200000 | PA      | $7057147.68    | 0.28%             | 2029-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RVPO BANK OF NOVA SCOTIA                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | CA        |     20000000 | PA      | $14370913.27   | 0.56%             |  |  |  | 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        |          795 | PA      | $757.50        | 0.00%             | 2034-03-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                        | CHASEFLEX TRUST CFLX 2007 1 2A6                          | CUSIP: 16165VAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       560127 | PA      | $184202.18     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                          | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75        | CUSIP: ACI2YYK31<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |        23867 | PA      | $35605.34      | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 11/26 VAR                 | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     10000000 | PA      | $10031643.90   | 0.39%             | 2026-11-10      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS LTD                                                    | ADIENT GLOBAL HOLDINGS COMPANY GUAR 144A 04/31 8.25      | CUSIP: 00687YAC9<br>LEI: 213800VA38VCKE6M8790 | Short            | DBT              | CORP              | JE        |     -2275000 | PA      | $-2387764.93   | -0.09%            | 2031-04-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                 | CUSIP: 40412BX99<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      2450000 | PA      | $2447205.29    | 0.10%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AADVANTAGE LOYALTY IP LTD                                                     | AMERICAN AIRLINES INC 2025 TERM LOAN                     | CUSIP: 02376CBS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      3890250 | PA      | $3888907.86    | 0.15%             | 2028-04-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251203                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $80356.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHE TARD INC 10/25 ZCP                   | CUSIP: 01626UX18<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |      1400000 | PA      | $1399833.40    | 0.05%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                                             | HERC HOLDINGS INC COMPANY GUAR 144A 06/33 7.25           | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Short            | DBT              | CORP              | US        |     -1047000 | PA      | $-1093797.76   | -0.04%            | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 1 LLC/ABILENE DC 2 LLC                                             | PROJECT FLASH DELAYED DRAW TERM LOAN                     | CUSIP: BA000GR85<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1000000 | PA      | $991239.20     | 0.04%             | 2030-01-09      | Floating      | 5.43%                 | No            |                  3 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3         | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       950449 | PA      | $226293.98     | 0.01%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                           | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 6A2 144A       | CUSIP: 74930PAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3500000 | PA      | $3110087.75    | 0.12%             | 2036-06-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375           | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       199808 | PA      | $196665.77     | 0.01%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $6304.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                          | GSAMP TRUST GSAMP 2006 HE6 A4                            | CUSIP: 36245AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       645291 | PA      | $554633.16     | 0.02%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                      | SERVICE PROPERTIES TRUST SR UNSECURED 02/30 4.375        | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Short            | DBT              | CORP              | US        |     -2275000 | PA      | $-1935735.14   | -0.08%            | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                               | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                 | CUSIP: 73110JAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       500000 | PA      | $518500.00     | 0.02%             | 2028-01-07      | Floating      | 14.43%                | No            |                  2 | On Loan: No      |
| AHLSTROM-MUNKSJO OYJ (SPA US HOLDCO INC)                                      | SPA HOLDINGS 3 OY TERM LOAN B                            | CUSIP: 937JIMII2<br>LEI: 254900HXD0I72WZYIT06 | Long             | LON              | CORP              | FI        |      1625104 | PA      | $1623478.94    | 0.06%             | 2028-02-04      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575        | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       457548 | PA      | $448840.69     | 0.02%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                         | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1           | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178865 | PA      | $105804.52     | 0.00%             | 2036-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1              | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30079 | PA      | $30967.64      | 0.00%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                     | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/30 4.9          | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1209895.92    | 0.05%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       469125 | PA      | $469125.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1095938 | PA      | $1095937.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 14.0275 05/21/25-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $136253.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTRALOT CAPITAL LUXEMBOURG SA                                                | INTRALOT CAPITAL LUX SR SECURED 144A 10/31 6.75          | CUSIP: ACI30N7J0<br>LEI: 549300QF747C7UWZYB38 | Long             | DBT              | CORP              | LU        |      2955000 | PA      | $3502092.78    | 0.14%             | 2031-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-787.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3            | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $978923.89     | 0.04%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 13.2914 05/08/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-51417.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4820                                                              | FREDDIE MAC FHR 4820 JI                                  | CUSIP: 3137FHJ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225308 | PA      | $44553.98      | 0.00%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EPH FINANCING INTERNATIONAL AS                                                | EPH FIN INTERNATIONAL AS EPH FIN INTERNATIONAL AS        | CUSIP: ACI2L2292<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |      2850000 | PA      | $3641654.59    | 0.14%             | 2028-11-13      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BOBL FUTURE  DEC25 XEUR 20251208                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -164 | NC      | $21575.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EVERGLADES RE II LTD                                                          | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR            | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $421260.00     | 0.02%             | 2031-05-13      | Floating      | 16.71%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A15      | CUSIP: 02149JCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1539560 | PA      | $611147.90     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-6663.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTY INC                                                                      | COTY INC SR SECURED 144A 04/26 3.875                     | CUSIP: ACI1YJLH4<br>LEI: 549300BO9IWPF3S48F93 | Long             | DBT              | CORP              | US        |      3500000 | PA      | $4113579.97    | 0.16%             | 2026-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP)                  | CELANESE US HOLDINGS LLC COMPANY GUAR 07/29 6.83         | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |     -1771000 | PA      | $-1830309.02   | -0.07%            | 2029-07-15      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     14221822 | PA      | $14221822.50   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                                         | CAIRN CLO BV CRNCL 2018 10A AR 144A                      | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3495155 | PA      | $4106214.73    | 0.16%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C             | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2368722 | PA      | $1396934.42    | 0.05%             | 2036-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO120626                               | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   1455979000 | PA      | $863407.92     | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4             | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     42200000 | PA      | $11772682.42   | 0.46%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 TA1B          | CUSIP: 05951GAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3782 | PA      | $3866.10       | 0.00%             | 2037-03-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 5 JUMBOS                               | CUSIP: 21H0506A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    118400000 | PA      | $117790661.50  | 4.63%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                           | NEXTERA ENERGY CAP HLDGS INC 10/25 ZCP                   | CUSIP: 65339MXL5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |       450000 | PA      | $448929.05     | 0.02%             | 2025-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-400.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A1        | CUSIP: 12668BXS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000677 | PA      | $407238.20     | 0.02%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 11/25 0.00000                              | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       671000 | PA      | $667874.50     | 0.03%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                                         | QUIKRETE HOLDINGS INC 2025 TERM LOAN B                   | CUSIP: 74839XAL3<br>LEI: 5493007KIN86DIZWZT22 | Long             | LON              | CORP              | US        |      1194000 | PA      | $1194608.94    | 0.05%             | 2032-02-10      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                        | FREDDIEMAC STRIP FHS 365 C55                             | CUSIP: 31325XWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4365103 | PA      | $790994.24     | 0.03%             | 2049-06-15      | Fixed         | 4.00%                 | 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        |       366499 | PA      | $344420.85     | 0.01%             | 2046-06-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SCOTTS MIRACLE-GRO CO                                                         | SCOTTS MIRACLE GRO CO COMPANY GUAR 02/32 4.375           | CUSIP: 810186AW6<br>LEI: 2TH9E0JTOUXOEGI2R879 | Short            | DBT              | CORP              | US        |       -89000 | PA      | $-82292.82     | -0.00%            | 2032-02-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                            | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A           | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1800000 | PA      | $1802118.15    | 0.07%             | 2036-10-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $9184.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                            | THAMES WATER UTIL FIN SR SECURED 02/34 6.5               | CUSIP: 005048II6<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |       400000 | PA      | $381202.38     | 0.01%             | 2034-02-09      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                  | ALAMO RE LTD UNSECURED 144A 06/26 VAR                    | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |      1800000 | PA      | $1894500.00    | 0.07%             | 2026-06-08      | Floating      | 15.84%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 535341 FN 09/39 FLOATING VAR                   | CUSIP: 31384VWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6524 | PA      | $6595.80       | 0.00%             | 2039-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                           | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1         | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       432519 | PA      | $261424.77     | 0.01%             | 2037-06-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1               | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1140 | PA      | $1107.28       | 0.00%             | 2033-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1         | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204080 | PA      | $191990.13     | 0.01%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $3892.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR7                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR7 A4          | CUSIP: 92922FQ50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       145321 | PA      | $151934.64     | 0.01%             | 2035-08-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AM3                                            | MASTR ASSET BACKED SECURITIES MABS 2006 AM3 A4           | CUSIP: 57645EAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1334461 | PA      | $1199166.37    | 0.05%             | 2036-10-25      | Floating      | 4.75%                 | 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        |         3825 | PA      | $3818.86       | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1              | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       538920 | PA      | $522407.94     | 0.02%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG        | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       400000 | PA      | $52000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR1                                             | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR1 1A1A              | CUSIP: 23332UGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       231035 | PA      | $199365.53     | 0.01%             | 2046-03-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-79051.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 5A1         | CUSIP: 61756XBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       915288 | PA      | $588493.24     | 0.02%             | 2037-12-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-183305.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $6454.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                         | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1          | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       195560 | PA      | $176099.60     | 0.01%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $30937.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4973                                                       | FREDDIE MAC FHR 4973 IK                                  | CUSIP: 3137FT2D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4650773 | PA      | $991977.35     | 0.04%             | 2050-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-401                                                          | FREDDIEMAC STRIP FHS 401 C15                             | CUSIP: 3142G47L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17188392 | PA      | $3711958.77    | 0.15%             | 2053-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-11281.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                        | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2C          | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4714127 | PA      | $2329417.97    | 0.09%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | VENTURE GLOBAL PLAQUE SR SECURED 144A 05/35 7.75         | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3839733.15    | 0.15%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        14088 | PA      | $14087.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2C         | CUSIP: 17310VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1529079 | PA      | $1046145.78    | 0.04%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                      | AT+T INC SR UNSECURED 02/30 4.3                          | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       105000 | PA      | $105248.29     | 0.00%             | 2030-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 2A12        | CUSIP: 41161PVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       306784 | PA      | $220956.74     | 0.01%             | 2035-10-19      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-1652.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                            | FANNIE MAE FNR 2002 21 FD                                | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           52 | PA      | $52.53         | 0.00%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                           | NCL CORPORATION LTD SR UNSECURED 144A 09/33 6.25         | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Short            | DBT              | CORP              | BM        |     -1100000 | PA      | $-1106380.85   | -0.04%            | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SALLY HOLDINGS LLC / SALLY CAPITAL INC                                        | SALLY HOLDINGS/SALLY CAP COMPANY GUAR 03/32 6.75         | CUSIP: 79546VAQ9<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -2875000 | PA      | $-2992688.13   | -0.12%            | 2032-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                           | ASHTEAD CAPITAL INC ASHTEAD CAPITAL INC                  | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1048508.30    | 0.04%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       113820 | PA      | $113820.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $155502.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $75031.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6LHA0 PIMCO FPPSWAPTION 3.8 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     29700000 | NC      | $2212257.96    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-1083.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-31687.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.55100 09/17/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $61580.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR           | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $4566121.64    | 0.18%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $18.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                      | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   2710000000 | PA      | $16797473.71   | 0.66%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2012-3R                               | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 3R 1A11 144A      | CUSIP: 12640HAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1181720 | PA      | $1088073.90    | 0.04%             | 2037-07-27      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $11532.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-75                                                     | FANNIE MAE FNR 2021 75 BI                                | CUSIP: 3136BJR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9320871 | PA      | $1673552.17    | 0.07%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1111844 | PA      | $1111843.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $116.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-11980.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2022-I LTD                                                       | CIFC FUNDING LTD CIFC 2022 1A A 144A                     | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6900000 | PA      | $6909660.00    | 0.27%             | 2035-04-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CONSTELLIUM SE                                                                | CONSTELLIUM SE COMPANY GUAR 144A 04/29 3.75              | CUSIP: 21039CAB0<br>LEI: 724500KRJEMC79KAAU28 | Short            | DBT              | CORP              | FR        |     -1150000 | PA      | $-1095177.89   | -0.04%            | 2029-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 2A3          | CUSIP: 41161PHB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       216173 | PA      | $197065.20     | 0.01%             | 2034-11-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-205073.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       339625 | PA      | $339625.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1129375 | PA      | $1129375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $901.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       147188 | PA      | $147187.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2936500 | PA      | $2936500.00    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-9159.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                             | CUSIP: 22823PX73<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |       350000 | PA      | $349686.26     | 0.01%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS9973 FN 07/47 FIXED 4                        | CUSIP: 3138WLCK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8821 | PA      | $8486.86       | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR             | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       300000 | PA      | $301230.00     | 0.01%             | 2030-01-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                 | ALTICE FRANCE SA SR SECURED REGS 10/29 4.25              | CUSIP: ACI20QTK8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      2700000 | PA      | $2753486.34    | 0.11%             | 2029-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6802 FN 03/46 FIXED 3.5                      | CUSIP: 3138WGRY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140459 | PA      | $131834.81     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 13.3537 05/12/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $83697.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS INC                                                    | ZIMMER BIOMET HOLDINGS SR UNSECURED 11/27 1.164          | CUSIP: ACI1GSHM8<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1939130.33    | 0.08%             | 2027-11-15      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95            | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     68961000 | PA      | $21999076.40   | 0.86%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-13                                 | FHLMC STRUCTURED PASS THROUGH FSPC T 13 A6               | CUSIP: 3133TGDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11020 | PA      | $11071.55      | 0.00%             | 2029-09-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-424394.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $28827.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                              | GRIFONAS FINANCE PLC GRIF 1 A REGS                       | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       184233 | PA      | $210203.33     | 0.01%             | 2039-08-28      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                            | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1              | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       256181 | PA      | $252127.98     | 0.01%             | 2036-02-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                            | THAMES WATER UTIL FIN SR SECURED REGS 01/33 4.375        | CUSIP: ACI2C9PD3<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      2000000 | PA      | $1655720.68    | 0.07%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2       | CUSIP: 92922F7Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220648 | PA      | $202804.78     | 0.01%             | 2045-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1374576.66   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4         | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7033321 | PA      | $1675998.27    | 0.07%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP)                  | CELANESE US HOLDINGS LLC COMPANY GUAR 11/28 6.85         | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |      -950000 | PA      | $-986651.64    | -0.04%            | 2028-11-15      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-971.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-16038.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-HE1                                                  | ACE SECURITIES CORP. ACE 2003 HE1 M1                     | CUSIP: 004421DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109531 | PA      | $111490.77     | 0.00%             | 2033-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-981616.92    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1        | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185588 | PA      | $166995.61     | 0.01%             | 2036-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                           | SUMITOMO MITSUI FINL GRP SR UNSECURED 09/31 2.222        | CUSIP: 86562MCJ7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      4800000 | PA      | $4238990.26    | 0.17%             | 2031-09-17      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251001                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $29275.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JELD-WEN INC                                                                  | JELD WEN INC COMPANY GUAR 144A 12/27 4.875               | CUSIP: 475795AD2<br>LEI: 549300XWE6NM0N1HFW16 | Short            | DBT              | CORP              | US        |     -1800000 | PA      | $-1758198.78   | -0.07%            | 2027-12-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B         | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8146710 | PA      | $6301873.81    | 0.25%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2007-2                                    | THORNBURG MORTGAGE SECURITIES TMST 2007 2 A2A            | CUSIP: 88522WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8186108 | PA      | $7022525.77    | 0.28%             | 2037-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A9       | CUSIP: 02146XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4028399 | PA      | $1281770.39    | 0.05%             | 2036-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 735642 FN 08/42 FLOATING VAR                   | CUSIP: 31402RHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4227 | PA      | $4232.37       | 0.00%             | 2042-08-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-1455.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       180500 | PA      | $180500.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20I                                      | SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1            | CUSIP: 83162CSA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        18844 | PA      | $19137.84      | 0.00%             | 2028-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-5759.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.88400 03/25/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-49962.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7          | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24817 | PA      | $24880.74      | 0.00%             | 2033-06-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | FWDTYE919 COLOMBIA GOVT NDF                              | CUSIP: 990AAUHR6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |  73384900000 | PA      | $16566025.43   | 0.65%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                      | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3         | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288065 | PA      | $290842.67     | 0.01%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-33884.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G0867 FH 08/35 FLOATING VAR           | CUSIP: 3128NC6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          550 | PA      | $561.99        | 0.00%             | 2035-08-01      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $59148.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       674625 | PA      | $674625.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA0133 FN 08/47 FIXED 4                        | CUSIP: 3140Q7EF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131336 | PA      | $126341.03     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ3935 FN 12/47 FIXED 3.5                      | CUSIP: 3140H5LR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78888 | PA      | $73073.63      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | 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      | $18706.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2004-NC1                                            | CARRINGTON MORTGAGE LOAN TRUST CARR 2004 NC1 M1          | CUSIP: 144531AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676134 | PA      | $725932.33     | 0.03%             | 2034-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B          | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11153 | PA      | $10014.05      | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                        | OPEN TEXT HOLDINGS INC COMPANY GUAR 144A 12/31 4.125     | CUSIP: 683720AC0<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |       -25000 | PA      | $-23142.99     | -0.00%            | 2031-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.89900 03/11/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-32340.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A          | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98854 | PA      | $94402.57      | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| TALON FUNDING LTD 1A                                                          | TALON FUNDING LTD TALON 1A A 144A                        | CUSIP: 87483UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1444503 | PA      | $232323.77     | 0.01%             | 2035-06-05      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A        | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       805044 | PA      | $522646.45     | 0.02%             | 2036-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                        | VENTURE GLOBAL LNG INC SR SECURED 144A 06/31 8.375       | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       500000 | PA      | $525337.66     | 0.02%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2246                                                              | FREDDIE MAC FHR 2246 Z                                   | CUSIP: 3133TPLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2713 | PA      | $2828.64       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                 | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                  | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       345628 | PA      | $111502.52     | 0.00%             | 2036-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-8                                                 | GSAA HOME EQUITY TRUST GSAA 2007 8 A3                    | CUSIP: 38144RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23238 | PA      | $23018.26      | 0.00%             | 2037-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $2480.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 3A           | CUSIP: 589929W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1171 | PA      | $1153.29       | 0.00%             | 2033-05-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 813599 FN 01/36 FLOATING VAR                   | CUSIP: 31406L3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16984 | PA      | $17449.12      | 0.00%             | 2036-01-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 13.175 06/24/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-131552.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       199975 | PA      | $199975.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-45                                                     | FANNIE MAE FNR 2018 45 SA                                | CUSIP: 3136B2EP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5499752 | PA      | $681670.65     | 0.03%             | 2048-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 01/31 VAR                               | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      4100000 | PA      | $3858153.83    | 0.15%             | 2031-01-13      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.87400 09/19/23-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4676096.26    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1219500 | PA      | $1219500.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A        | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       232420 | PA      | $150501.43     | 0.01%             | 2035-11-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A         | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3877 | PA      | $3733.69       | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45     | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |       600000 | PA      | $551002.20     | 0.02%             | 2028-09-15      | Fixed         | 2.45%                 | 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        |         4497 | PA      | $4546.12       | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-2F                                               | GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3                  | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       625858 | PA      | $310535.87     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TEREX CORPORATION                                                             | TEREX CORP COMPANY GUAR 144A 10/32 6.25                  | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Short            | DBT              | CORP              | US        |     -3375000 | PA      | $-3440866.50   | -0.14%            | 2032-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLII LTD 2024-42A                                                   | MAGNETITE CLO LTD MAGNE 2024 42A A1 144A                 | CUSIP: 55955XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1004925.30    | 0.04%             | 2038-01-25      | Floating      | 5.63%                 | 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      | $18671.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-786954.26    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                | WINSTON RE LTD UNSECURED 144A 02/28 VAR                  | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $259700.00     | 0.01%             | 2028-02-21      | Floating      | 10.43%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $348.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADWA6 PIMCO SWAPTION 3.685 PUT USD 2025101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -2100000 | NC      | $-7009.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       678438 | PA      | $678437.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1014.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C         | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1087916 | PA      | $612925.32     | 0.02%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A1               | CUSIP: 466247J95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72817 | PA      | $63632.55      | 0.00%             | 2036-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR1                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2          | CUSIP: 39538RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2765 | PA      | $2528.29       | 0.00%             | 2045-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-285.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $7.58          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP2                                            | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A        | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25510 | PA      | $24037.23      | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2110000 | PA      | $2110000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M3           | CUSIP: 86358EPS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       605777 | PA      | $530936.43     | 0.02%             | 2035-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/30 4.625          | CUSIP: 303901BF8<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |      2900000 | PA      | $2911983.12    | 0.11%             | 2030-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-18888.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                          | RAAC SERIES RAAC 2005 SP2 2A                             | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       149008 | PA      | $137272.14     | 0.01%             | 2044-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 17 1 AA PTT PASS THRU CE 02/29 3.65         | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       591250 | PA      | $575325.63     | 0.02%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3               | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7249 | PA      | $6985.89       | 0.00%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1         | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14823 | PA      | $13598.39      | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1               | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       655301 | PA      | $374827.98     | 0.01%             | 2036-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                                            | FANNIE MAE FNR 2000 32 FM                                | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          468 | PA      | $466.93        | 0.00%             | 2030-10-18      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $4529.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A1               | CUSIP: 466247ZN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       407648 | PA      | $205290.93     | 0.01%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A1          | CUSIP: 939336Z30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59272 | PA      | $59051.70      | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | 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        |      1700000 | PA      | $1742815.47    | 0.07%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH2712 FN 04/47 FIXED 3.5                      | CUSIP: 3140GRAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226640 | PA      | $211327.16     | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B        | CUSIP: 02150PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9634 | PA      | $8881.21       | 0.00%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251030                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $49938.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                            | VENTURE GLOBAL PLAQUE SR SECURED 144A 05/33 7.5          | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      3400000 | PA      | $3759159.00    | 0.15%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                            | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A  | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      2500000 | PA      | $2508555.80    | 0.10%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG REGS 11/30 VAR                          | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      1700000 | PA      | $1887338.86    | 0.07%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                            | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4           | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       773712 | PA      | $273636.02     | 0.01%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1150000 | PA      | $1150000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1278.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                          | FRONTIER COMMUNICATIONS SR SECURED 144A 05/30 8.75       | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4000000 | PA      | $4181840.00    | 0.16%             | 2030-05-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-1953.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-11                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 11 A5          | CUSIP: 93934FHZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1865113 | PA      | $1509301.31    | 0.06%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2003-NC8                                         | MORGAN STANLEY CAPITAL INC MSAC 2003 NC8 M1              | CUSIP: 61746RDM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       289295 | PA      | $290817.90     | 0.01%             | 2033-09-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $42084.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                 | CUSIP: 40412BXH1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      1150000 | PA      | $1147494.15    | 0.05%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 13.5454 05/21/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-418590.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT DEC25 XCBT 20251219                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4341 | NC      | $-5209608.50   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $14607.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1080750 | PA      | $1080750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                     | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7          | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      2450000 | PA      | $2492495.25    | 0.10%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251124                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-42346.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       186071 | PA      | $186071.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 10.7684 04/19/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3929174.53   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W17                                                 | FANNIEMAE WHOLE LOAN FNW 2003 W17 1A7                    | CUSIP: 31393UAK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17163 | PA      | $17419.20      | 0.00%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1291875 | PA      | $1291875.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MAGNETITE XXXVII LTD 2023-37A                                                 | MAGNETITE CLO LTD MAGNE 2023 37A A 144A                  | CUSIP: 55952AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1502719.05    | 0.06%             | 2036-10-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC / WYNN LAS VEGAS CAPITAL CORP                              | WYNN LAS VEGAS LLC/CORP COMPANY GUAR 144A 05/27 5.25     | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       600000 | PA      | $599771.27     | 0.02%             | 2027-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1         | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          736 | PA      | $694.38        | 0.00%             | 2034-11-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888596 FN 07/37 FIXED VAR                      | CUSIP: 31410GGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2076 | PA      | $2199.92       | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251209                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $2620.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 07/30 1.75                        | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      3600000 | PA      | $3716898.82    | 0.15%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       171868 | PA      | $171867.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SUBORDINATED 05/28 4.836                    | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       350000 | PA      | $351995.74     | 0.01%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-12862.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC SR UNSECURED 05/32 4.75         | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |       300000 | PA      | $301795.51     | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2166000 | PA      | $2166000.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R3                                          | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R3 A1 144A       | CUSIP: 62951MAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       317816 | PA      | $276599.01     | 0.01%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UA9TA9 PIMCO SWAPTION 2.85 PUT EUR 20251002           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1700000 | NC      | $-1.60         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-4                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 4 A2C                | CUSIP: 66988XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2867484 | PA      | $1125019.14    | 0.04%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 888745 FN 10/37 FIXED VAR                      | CUSIP: 31410GL27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4265 | PA      | $4462.71       | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES 2007-8                                           | CITICORP MORTGAGE SECURITIES, CMSI 2007 8 1A3            | CUSIP: 17312DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54018 | PA      | $55530.91      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        21475 | PA      | $21475.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-35272.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M5           | CUSIP: 86358EPU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       633361 | PA      | $286411.97     | 0.01%             | 2035-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-491.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $42188.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875         | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1880763 | PA      | $1934648.86    | 0.08%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CASCADES INC/CASCADES USA INC                                                 | CASCADES INC/USA INC SR UNSECURED 144A 07/30 6.75        | CUSIP: 14739LAD4<br>LEI: N/A                  | Short            | DBT              | CORP              | CA        |     -1800000 | PA      | $-1834866.00   | -0.07%            | 2030-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA1 2A1        | CUSIP: 32051GV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       139721 | PA      | $116397.72     | 0.00%             | 2036-04-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                        | FREDDIEMAC STRIP FHS 408 C51                             | CUSIP: 3142G6F92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6688408 | PA      | $1146325.14    | 0.05%             | 2053-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $1474.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 803338 FN 09/44 FLOATING VAR                   | CUSIP: 31405YPX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7442 | PA      | $7533.39       | 0.00%             | 2044-09-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                                 | ARGENT SECURITIES INC. ARSI 2004 W3 A3                   | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       376357 | PA      | $399629.71     | 0.02%             | 2034-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH2087 FN 05/47 FIXED 4                        | CUSIP: 3140GQJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4655 | PA      | $4436.47       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $44260.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1390.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008928 G2 07/26 FLOATING VAR                | CUSIP: 36202K4M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           64 | PA      | $64.01         | 0.00%             | 2026-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORP / CANADAS WONDERLAND CO / MAGNUM MANAGEMENT CORP | SIX FLAGS/CANADA WON COMPANY GUAR 07/29 5.25             | CUSIP: 150190AE6<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -2288000 | PA      | $-2214091.42   | -0.09%            | 2029-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 03/28 VAR             | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      9700000 | PA      | $9614681.52    | 0.38%             | 2028-03-24      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.10000 02/10/25-1Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $413711.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                 | PURPLE RE LTD UNSECURED 144A 06/27 VAR                   | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $743470.00     | 0.03%             | 2027-06-07      | Floating      | 13.09%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-470.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-B                                                | FREMONT HOME LOAN TRUST FHLT 2004 B M1                   | CUSIP: 35729PDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2446433 | PA      | $2403195.47    | 0.09%             | 2034-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2C                           | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2166851 | PA      | $1075647.01    | 0.04%             | 2046-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        38951 | PA      | $38951.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $73755.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2          | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14843 | PA      | $14654.78      | 0.00%             | 2034-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/35 FIXED 3.501  | CUSIP: 88880LAS2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       400000 | PA      | $342156.88     | 0.01%             | 2035-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       471938 | PA      | $471937.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $122816.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $308.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                     | ROGERS COMMUNICATIONS IN SUBORDINATED 04/55 VAR          | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Short            | DBT              | CORP              | CA        |     -1175000 | PA      | $-1246176.27   | -0.05%            | 2055-04-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2084250 | PA      | $2084250.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-39                                                     | FANNIE MAE FNR 2023 39 AI                                | CUSIP: 3136BQFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10023145 | PA      | $1291148.46    | 0.05%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 775852 FN 03/44 FLOATING VAR                   | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42075 | PA      | $42591.06      | 0.00%             | 2044-03-01      | Floating      | 5.35%                 | 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      | $18688.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | GOLDMAN SACHS REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2606308 | PA      | $2606308.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-208622.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TELECOMMUNICATIONS COMPANY TELEKOM SRBIJA AKCIONARSKO DRUSTVO BELGRADE        | TELECOM SERBIA EUR TERM LOAN A                           | CUSIP: BA0005336<br>LEI: 254900OVY0XI1DFYC092 | Long             | LON              | CORP              | LU        |      6000000 | PA      | $7027114.89    | 0.28%             | 2029-06-11      | Floating      | 3.40%                 | No            |                  3 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 10/30 1.875             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      1700000 | PA      | $1504240.55    | 0.06%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG        | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $156000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2           | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160483 | PA      | $108071.64     | 0.00%             | 2036-09-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                               | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A       | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1200000 | PA      | $960600.00     | 0.04%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                             | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4400000 | PA      | $3788966.15    | 0.15%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-722.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0606A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -68415010 | PA      | $-69902620.50  | -2.75%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-911.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $8434.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 05/30 6               | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      2700000 | PA      | $2839185.00    | 0.11%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1        | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4006990 | PA      | $1068804.44    | 0.04%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2          | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4264919 | PA      | $4101722.02    | 0.16%             | 2035-09-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6VWA1 PIMCO FPPSWAPTION 3.255 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     31900000 | NC      | $2538720.03    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | KBCZ26C45 DEC26 45 CALL FSO                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          276 | NC      | $276000.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-229.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81             | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      1100000 | PA      | $1036953.40    | 0.04%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1         | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       290114 | PA      | $276406.46     | 0.01%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3           | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3801188 | PA      | $974273.75     | 0.04%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8            | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    149700000 | PA      | $8699589.69    | 0.34%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       572000 | PA      | $572000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/34 4.25                               | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    112200000 | PA      | $113488547.44  | 4.46%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 5 JUMBOS                               | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42000000 | PA      | $41728068.06   | 1.64%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 878999 FN 02/36 FLOATING VAR                   | CUSIP: 31409URU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20438 | PA      | $20847.65      | 0.00%             | 2036-02-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-86658.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR                 | CUSIP: BFM4XMII1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      6200000 | PA      | $8364371.60    | 0.33%             | 2026-09-28      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HOCHTIEF AG SNR SE SP JPM                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |            1 | NC      | $218466.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A6        | CUSIP: 12668AFM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       775907 | PA      | $428934.14     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $757.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-37555.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC2669 FN 02/46 FIXED 3.5                      | CUSIP: 3140EW6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       340233 | PA      | $319061.11     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                           | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4              | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       329501 | PA      | $325845.22     | 0.01%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 09/31 VAR                               | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      5600000 | PA      | $5309897.94    | 0.21%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                              | SIERRA MADRE FUNDING LTD MADRE 2004 1A A1A 144A          | CUSIP: 82639RAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10653909 | PA      | $5970311.96    | 0.23%             | 2039-09-07      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $2811.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2554875 | PA      | $2554875.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-1769.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | CORP0HRG0 HRDFDG 5.33 06/09/35                           | CUSIP: 957HXRII3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       600000 | PA      | $622128.70     | 0.02%             | 2035-06-07      | Fixed         | 5.33%                 | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                            | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 2A1          | CUSIP: 07401NAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1003312 | PA      | $944693.89     | 0.04%             | 2037-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                                     | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                 | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       775068 | PA      | $776036.49     | 0.03%             | 2030-04-22      | Floating      | 5.69%                 | 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        |     10809893 | PA      | $10401650.91   | 0.41%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A           | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2658 | PA      | $2472.79       | 0.00%             | 2034-04-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-6797.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-4961.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A3         | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2970830 | PA      | $1039009.43    | 0.04%             | 2037-03-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        89212 | PA      | $89212.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 01/30 VAR                    | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1406916.73    | 0.06%             | 2030-01-23      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                              | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4               | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2693675.40    | 0.11%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $5581.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2092125 | PA      | $2092125.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-163467.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-2066.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                              | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1              | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       331625 | PA      | $316341.95     | 0.01%             | 2036-01-25      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-3972.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15          | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       350784 | PA      | $329229.18     | 0.01%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D             | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4055416 | PA      | $1939648.44    | 0.08%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                          | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75        | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       107415 | PA      | $161339.72     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A2        | CUSIP: 12668BRX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       813575 | PA      | $626266.52     | 0.02%             | 2036-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-15698.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       411500 | PA      | $411500.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                      | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875     | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |      4500000 | PA      | $5292022.13    | 0.21%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1164150 | PA      | $1164150.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 804965 FN 12/34 FLOATING VAR                   | CUSIP: 31406BJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4572 | PA      | $4652.81       | 0.00%             | 2034-12-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORPORATION                                                     | EXPAND ENERGY CORP COMPANY GUAR 144A 02/29 5.875         | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |       300000 | PA      | $301136.36     | 0.01%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR             | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       400000 | PA      | $416500.00     | 0.02%             | 2032-06-07      | Floating      | 11.07%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A1         | CUSIP: 07384MZ88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30766 | PA      | $29382.23      | 0.00%             | 2034-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| SCULE-5A                                                                      | SCULPTOR EUROPEAN CLO SCULE 5A AR 144A                   | CUSIP: ACI21JK97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      5165816 | PA      | $6069548.40    | 0.24%             | 2032-01-14      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2          | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2363802 | PA      | $1330643.14    | 0.05%             | 2037-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5251.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                               | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       317878 | PA      | $287626.29     | 0.01%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                            | CANADIAN NATURAL RESOU                                   | CUSIP: 13638WXN7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | US        |      2300000 | PA      | $2293660.97    | 0.09%             | 2025-10-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-127043.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR6                                                       | BCAP LLC TRUST BCAP 2011 RR6 7A1 144A                    | CUSIP: 05535YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       215907 | PA      | $192087.38     | 0.01%             | 2037-06-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1             | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8119803 | PA      | $1984561.84    | 0.08%             | 2046-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY 144A 03/29 VAR                   | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     13500000 | PA      | $13495159.58   | 0.53%             | 2029-03-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2               | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       739718 | PA      | $312756.83     | 0.01%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                   | URSA RE LTD UNSECURED 144A 02/28 VAR                     | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |      1400000 | PA      | $1412670.00    | 0.06%             | 2028-02-22      | Floating      | 11.43%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-330442.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-R1                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2           | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1462908 | PA      | $394218.05     | 0.02%             | 2046-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                          | CLEVELAND CLIFFS INC COMPANY GUAR 144A 11/29 6.875       | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Short            | DBT              | CORP              | US        |     -3375000 | PA      | $-3442233.38   | -0.14%            | 2029-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                                 | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                  | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          452 | PA      | $430.32        | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/34 1.75                               | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11874944 | PA      | $11935337.35   | 0.47%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -4400000 | NC      | $-1613.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A2          | CUSIP: 25151AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       991641 | PA      | $907729.44     | 0.04%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR           | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     16100000 | PA      | $15985532.70   | 0.63%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                             | CUSIP: 22823PXM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2592993.00    | 0.10%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 03/27 3.65              | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      4500000 | PA      | $4468354.83    | 0.18%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251119                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1019.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-13377.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $2636.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                             | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                  | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1706902 | PA      | $2006148.66    | 0.08%             | 2032-08-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260514                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-168080.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1081730.17    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                                        | NXP BV/NXP FDG/NXP USA COMPANY GUAR 06/27 4.4            | CUSIP: 62954HBE7<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      1800000 | PA      | $1806635.09    | 0.07%             | 2027-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                      | MSCI INC COMPANY GUAR 144A 08/33 3.25                    | CUSIP: 55354GAQ3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |       500000 | PA      | $447018.03     | 0.02%             | 2033-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 692571 GN 05/39 FIXED 5                        | CUSIP: 36296JMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247813 | PA      | $253041.77     | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAI5A5 PIMCO SWAPTION 3.757 PUT USD 2026091           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      1500000 | NC      | $1329.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 1A5           | CUSIP: 05952GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       575548 | PA      | $477375.30     | 0.02%             | 2047-06-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $23103.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTRAL GARDEN & PET COMPANY                                                  | CENTRAL GARDEN + PET CO COMPANY GUAR 10/30 4.125         | CUSIP: 153527AN6<br>LEI: 5493004DVZLD37DJ0H83 | Short            | DBT              | CORP              | US        |     -2350000 | PA      | $-2235617.53   | -0.09%            | 2030-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9             | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     44400000 | PA      | $13380294.64   | 0.53%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-155096.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR15                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR15 A5         | CUSIP: 939336DN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1169418 | PA      | $1145142.24    | 0.04%             | 2032-12-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                   | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29473 | PA      | $19407.46      | 0.00%             | 2046-09-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-3457.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A                          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A A 144A      | CUSIP: ACI2X1Q61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6600000 | PA      | $7747963.37    | 0.30%             | 2035-02-15      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A4          | CUSIP: 68403KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1026469 | PA      | $671189.84     | 0.03%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| BATH & BODY WORKS INC                                                         | BATH + BODY WORKS INC COMPANY GUAR 144A 10/30 6.625      | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Short            | DBT              | CORP              | US        |     -4650000 | PA      | $-4760330.55   | -0.19%            | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA1                                        | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 1A1         | CUSIP: 76111XG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170870 | PA      | $162977.40     | 0.01%             | 2036-02-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                                               | SOUTHERN CALIF GAS CO SR UNSECURED 04/27 2.95            | CUSIP: 842434CW0<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |      5900000 | PA      | $5814039.66    | 0.23%             | 2027-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR               | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      8200000 | PA      | $8073128.21    | 0.32%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG        | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       200000 | PA      | $26000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $5129.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-4.32         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-173524.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $4.07          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 955791 FN 10/37 FIXED 6.5                      | CUSIP: 31413UKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59897 | PA      | $62938.39      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL COMPANY GUAR 09/26 4.625                | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Short            | DBT              | CORP              | US        |      -522000 | PA      | $-521061.72    | -0.02%            | 2026-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $2942.97       | 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      | $-76854.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                     | CAESARS ENTERTAIN INC COMPANY GUAR 144A 10/32 6          | CUSIP: 12769GAD2<br>LEI: 549300FA4CTCW903Y781 | Short            | DBT              | CORP              | US        |     -1200000 | PA      | $-1182701.76   | -0.05%            | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $101.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       603031 | PA      | $603031.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |         8270 | PA      | $8270.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C             | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13390190 | PA      | $5700710.16    | 0.22%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 11/31 2.25                 | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1231994.43    | 0.05%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                      | SERVICE PROPERTIES TRUST SR UNSECURED 10/29 4.95         | CUSIP: 44106MBB7<br>LEI: 529900IS770AG1K9QG27 | Short            | DBT              | CORP              | US        |     -2400000 | PA      | $-2117275.92   | -0.08%            | 2029-10-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                    | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A             | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7760731 | PA      | $7858688.06    | 0.31%             | 2037-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    455500000 | PA      | $465279808.20  | 18.28%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6 JUMBOS                               | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22200000 | PA      | $22579435.52   | 0.89%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADIENT GLOBAL HOLDINGS LTD                                                    | ADIENT GLOBAL HOLDINGS COMPANY GUAR 144A 02/33 7.5       | CUSIP: 00687YAD7<br>LEI: 213800VA38VCKE6M8790 | Short            | DBT              | CORP              | JE        |     -3825000 | PA      | $-3963599.26   | -0.16%            | 2033-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251027                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $23120.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $31011.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/0.7* 03/30/21-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3778489.03    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A3                  | CUSIP: 12669GKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       472002 | PA      | $441940.79     | 0.02%             | 2035-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CONSTELLATION OIL D SHS WARRNT WARRYU9O1                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |            1 | NC      | $0.00          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251001                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-475.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC (AKA: BCP CRYSTAL US HOLDINGS CORP)                  | CELANESE US HOLDINGS LLC COMPANY GUAR 11/30 7.05         | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |     -2236000 | PA      | $-2309839.43   | -0.09%            | 2030-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| INEOS STYROLUTION LUDWIGSHAFEN GMBH                                           | STYROLUTION SR SECURED REGS 01/27 2.25                   | CUSIP: ACI1J9953<br>LEI: 5299003M4PGUGL48LS74 | Long             | DBT              | CORP              | DE        |      2450000 | PA      | $2829547.93    | 0.11%             | 2027-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2           | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       211647 | PA      | $184796.98     | 0.01%             | 2033-01-25      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS COP IBR/8.50000 06/25/25-3Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |            1 | NC      | $12546.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                      | LEHMAN XS TRUST LXS 2006 12N A32A                        | CUSIP: 525226AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       767799 | PA      | $752647.77     | 0.03%             | 2046-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 10YR BOND FUT DEC25 XMOD 20251218                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          215 | NC      | $392520.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUC PASS THRU SEC T-30                                                | FHLMC STRUCTURED PASS THROUGH FSPC T 30 A5               | CUSIP: 3133TQCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61411 | PA      | $58108.86      | 0.00%             | 2030-12-25      | Variable      | 8.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       424125 | PA      | $424125.00     | 0.02%             |  |  |  | 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        |      4703993 | PA      | $4549069.41    | 0.18%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       181250 | PA      | $181250.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 06/30 2.1               | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       700000 | PA      | $631215.03     | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                              | ORGANON + CO/ORG SR UNSECURED 144A 04/31 5.125           | CUSIP: 68622TAB7<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -5375000 | PA      | $-4713036.45   | -0.19%            | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A            | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       260000 | PA      | $348589.87     | 0.01%             | 2049-12-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1063969 | PA      | $1063968.75    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        50584 | PA      | $50583.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345            | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      5200000 | PA      | $5105808.60    | 0.20%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-38226.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1           | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34125 | PA      | $33247.03      | 0.00%             | 2034-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 XA1           | CUSIP: 059515BE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       279122 | PA      | $270278.60     | 0.01%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORPUS CHRISTI HOLDINGS LLC                                          | CHENIERE CORP CHRISTI HD SR SECURED 06/27 5.125          | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |      9500000 | PA      | $9605097.36    | 0.38%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-75520.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                              | FREDDIE MAC FHR 2400 FQ                                  | CUSIP: 31339NC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          300 | PA      | $299.64        | 0.00%             | 2032-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251208                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1579.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                        | CHASEFLEX TRUST CFLX 2007 3 2A1                          | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       332614 | PA      | $295472.89     | 0.01%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       233156 | PA      | $233156.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1600000 | NC      | $-3583.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 CB1         | CUSIP: 76110HG94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142903 | PA      | $47203.06      | 0.00%             | 2034-12-26      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251110                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $43454.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $419428.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-13                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 13 A           | CUSIP: 41162KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17301 | PA      | $12063.80      | 0.00%             | 2046-11-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 5A1         | CUSIP: 45660L4G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39956 | PA      | $13201.32      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                        | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A4          | CUSIP: 18976GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       251319 | PA      | $221050.30     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO3                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO3 A1          | CUSIP: 761118KU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       104954 | PA      | $74970.06      | 0.00%             | 2045-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED REGS 03/26 2.652            | CUSIP: ACI1RDD76<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |       300000 | PA      | $352181.70     | 0.01%             | 2026-03-17      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 438                                                 | FANNIEMAE STRIP FNS 438 C28                              | CUSIP: 31424UWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4256032 | PA      | $913372.06     | 0.04%             | 2053-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-56                                                            | FANNIE MAE FNR 2006 56 CA                                | CUSIP: 31395NWV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5623 | PA      | $5809.17       | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                       | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1         | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12598 | PA      | $12250.15      | 0.00%             | 2031-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S3                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S3 A4          | CUSIP: 46628VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       463592 | PA      | $456436.95     | 0.02%             | 2036-08-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-12                                                | GSAA HOME EQUITY TRUST GSAA 2005 12 AF3W                 | CUSIP: 362341TK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        69660 | PA      | $66299.24      | 0.00%             | 2035-09-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1055000 | PA      | $1055000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 885667 FN 10/36 FIXED 6.5                      | CUSIP: 31410C6C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          806 | PA      | $842.06        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528   | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |         4000 | PA      | $3846.66       | 0.00%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 870732 FN 09/36 FIXED 6.5                      | CUSIP: 31409GLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8300 | PA      | $8680.71       | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 487821 GN 03/39 FIXED 5                        | CUSIP: 36210B4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       109328 | PA      | $111701.27     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF1                                        | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF1 A4          | CUSIP: 83612LAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1678153 | PA      | $1668856.97    | 0.07%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       808000 | PA      | $808000.00     | 0.03%             |  |  |  | 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        |      2200000 | PA      | $2313562.26    | 0.09%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                        | FREDDIEMAC STRIP FHS 408 C46                             | CUSIP: 3142G6F35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17866107 | PA      | $2215054.73    | 0.09%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA                                                        | JP MORGAN CHASE BANK NA SR UNSECURED 12/26 5.11          | CUSIP: 48125LRU8<br>LEI: 7H6GLXDRUGQFU57RNE97 | Long             | DBT              | CORP              | US        |      1050000 | PA      | $1063507.07    | 0.04%             | 2026-12-08      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BH6574 FN 08/47 FIXED 4                        | CUSIP: 3140GVJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2894 | PA      | $2784.90       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 1A1        | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       666763 | PA      | $221004.93     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $20742.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | MEXICAN UDIBONOS BONDS 11/28 4                           | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     21419423 | PA      | $1166369.38    | 0.05%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20260821                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $34588.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q49387 FG 07/47 FIXED 4                | CUSIP: 3132WPND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55658 | PA      | $53624.05      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN ASSET BACKED CERTIFICATES 2006-4                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 4 A2C          | CUSIP: 69121QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1404332 | PA      | $1168647.32    | 0.05%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 780090 FH 12/32 FLOATING VAR           | CUSIP: 31342AC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          539 | PA      | $546.61        | 0.00%             | 2032-12-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2          | CUSIP: 03072SVS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       870374 | PA      | $846285.80     | 0.03%             | 2034-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                       | NTT FINANCE CORP SR UNSECURED 144A 07/28 4.62            | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      1300000 | PA      | $1313064.36    | 0.05%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008959 G2 08/26 FLOATING VAR                | CUSIP: 36202K5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          102 | PA      | $101.66        | 0.00%             | 2026-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| X CORPORATION                                                                 | X CORP 2025 FIXED TERM LOAN                              | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2200000 | PA      | $2209933.00    | 0.09%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES INC                                                         | NABORS INDUSTRIES INC NABORS INDUSTRIES INC              | CUSIP: 62957HAP0<br>LEI: 549300VFQWRKICUFNU92 | Short            | DBT              | CORP              | US        |     -1050000 | PA      | $-1092798.00   | -0.04%            | 2030-01-31      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-9648.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5 1A11            | CUSIP: 22944BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       794104 | PA      | $374877.24     | 0.01%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE 10/25 ZCP                                   | CUSIP: 22823PXP3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      4400000 | PA      | $4386994.04    | 0.17%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG JR SUBORDINA 144A 12/99 VAR                 | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       400000 | PA      | $364405.80     | 0.01%             | 2031-02-10      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1177031 | PA      | $1177031.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                                                       | FREDDIE MAC FHR 4989 FA                                  | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       375298 | PA      | $370467.34     | 0.01%             | 2040-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-30639.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 03/32 4.05              | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |       700000 | PA      | $678705.86     | 0.03%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UNIGEL LUXEMBOURG SA                                                          | UNIGEL LUXEMBOURG SA SECURED 144A 12/28 11               | CUSIP: 904752AD4<br>LEI: 213800Y16R77O7LH7X62 | Long             | DBT              | CORP              | LU        |      2903130 | PA      | $537079.05     | 0.02%             | 2028-12-31      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -5000000 | NC      | $-19651.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIGEL NETHERLANDS HOLDING CORPORATION BV                                     | UNIGEL NETHERLANDS HOLD UNSECURED 144A 12/44 15          | CUSIP: 90475UAA8<br>LEI: 213800UOXJTQ82DWTJ78 | Long             | DBT              | CORP              | NL        |      2430953 | PA      | $72928.59      | 0.00%             | 2044-12-31      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 544861 FN 12/36 FLOATING VAR                   | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          848 | PA      | $841.32        | 0.00%             | 2036-12-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                                | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A        | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1000936.10    | 0.04%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251121                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $2354.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD COP BOUGHT USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $2549.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       183969 | PA      | $183968.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS 144A 09/28 VAR                               | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      2000000 | PA      | $1907509.18    | 0.07%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12       | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32788 | PA      | $9975.30       | 0.00%             | 2037-05-25      | Floating      | 4.62%                 | 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        |      4100000 | PA      | $1248935.07    | 0.05%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                 | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     28807645 | PA      | $280557650.25  | 11.02%            |  |  |  | No            |                  1 | On Loan: No      |
| RLJ LODGING TRUST LP                                                          | RLJ LODGING TRUST LP SR SECURED 144A 09/29 4             | CUSIP: 74965LAB7<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1039642.34    | 0.04%             | 2029-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 002910 G2 04/30 FIXED 8.5                   | CUSIP: 36202DGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           71 | PA      | $73.34         | 0.00%             | 2030-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                           | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1        | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       214834 | PA      | $206960.42     | 0.01%             | 2046-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                                              | FREDDIE MAC FHR 2411 FJ                                  | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9536 | PA      | $9509.66       | 0.00%             | 2029-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251128                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-623697.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR           | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1512 | PA      | $1548.07       | 0.00%             | 2035-09-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 008781 G2 01/26 FLOATING VAR                | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          189 | PA      | $189.08        | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-652895.94    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                              | VOYA CLO LTD VOYA 2017 3A A1RR 144A                      | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3900000 | PA      | $3905004.68    | 0.15%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3         | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       715197 | PA      | $550143.44     | 0.02%             | 2036-10-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251229                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-428240.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $15460.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2          | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       827103 | PA      | $405925.91     | 0.02%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $20869.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.99850 07/03/23-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6048986.40    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-8.86         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $469.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 9 1A1           | CUSIP: 86361PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       265240 | PA      | $131579.31     | 0.01%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                        | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A3D          | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2300000 | PA      | $1796010.43    | 0.07%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       189585 | PA      | $189585.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                     | JETBLUE AIRWAYS CORP PASS THRU CE 05/34 4                | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       352767 | PA      | $332531.23     | 0.01%             | 2034-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 545204 FN 05/36 FLOATING VAR                   | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          586 | PA      | $579.25        | 0.00%             | 2036-05-01      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/1.50 06/21/17-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1074404.23    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251224                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-51835.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-28840.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL COMPANY GUAR 10/28 4.75                 | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Short            | DBT              | CORP              | US        |     -3312000 | PA      | $-3288473.21   | -0.13%            | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/26 FIXED 1.82   | CUSIP: 88880LAH6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       200000 | PA      | $196970.74     | 0.01%             | 2026-06-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A           | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44185 | PA      | $36009.51      | 0.00%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8        | CUSIP: 12668AUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162254 | PA      | $81090.92      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATKORE INC                                                                    | ATKORE INC SR UNSECURED 144A 06/31 4.25                  | CUSIP: 047649AA6<br>LEI: 52990002TI38AM4RPV48 | Short            | DBT              | CORP              | US        |     -1175000 | PA      | $-1095912.28   | -0.04%            | 2031-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 02/35 6.35            | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      2600000 | PA      | $2752152.00    | 0.11%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1104500 | PA      | $1104500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $4028.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-SCHATZ FUT   DEC25 XEUR 20251208                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -385 | NC      | $55395.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1         | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20818 | PA      | $19871.48      | 0.00%             | 2045-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1156375 | PA      | $1156375.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.49576 06/14/24-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-512143.61    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-10.99        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                   | EQUINIX INC SR UNSECURED 03/27 0.25                      | CUSIP: ACI1W3KV1<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      1400000 | PA      | $1593354.71    | 0.06%             | 2027-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2005-1                                              | NELNET STUDENT LOAN TRUST NSLT 2005 1 A5                 | CUSIP: 64031QBR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        79632 | PA      | $79104.74      | 0.00%             | 2033-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2B                           | CUSIP: 3622MGAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3367786 | PA      | $1671852.17    | 0.07%             | 2046-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $790.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                    | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1400000 | PA      | $1400189.21    | 0.05%             | 2034-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                         | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A3          | CUSIP: 57645MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       842962 | PA      | $275484.27     | 0.01%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH T-31                                            | FHLMC STRUCTURED PASS THROUGH FSPC T 31 A6               | CUSIP: 3133TR7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          539 | PA      | $531.79        | 0.00%             | 2030-11-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                           | UNITED AIRLINES INC SR SECURED 144A 04/26 4.375          | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |       300000 | PA      | $299797.23     | 0.01%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHE TARD INC 10/25 ZCP                   | CUSIP: 01626UX26<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |       750000 | PA      | $749821.20     | 0.03%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7        | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     97900000 | PA      | $31445692.60   | 1.24%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-99                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 99 BS            | CUSIP: 38381XTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1527744 | PA      | $131783.67     | 0.01%             | 2049-08-20      | Floating      | 1.80%                 | 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      | $-132343.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1003199.21   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-5131.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                       | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1          | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       272686 | PA      | $192994.51     | 0.01%             | 2037-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/32 8.25         | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     58600000 | PA      | $3349293.69    | 0.13%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-4A LTD                                           | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 4A A1R 144A      | CUSIP: 05685BAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      1200000 | PA      | $1203423.11    | 0.05%             | 2037-10-16      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP               | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A     | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       976280 | PA      | $962886.38     | 0.04%             | 2037-04-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-6                                                      | FANNIE MAE FNR 2024 6 IO                                 | CUSIP: 3136BQ2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10495566 | PA      | $1949650.07    | 0.08%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                          | LIFEPOINT HEALTH INC 2024 1ST LIEN TERM LOAN B           | CUSIP: 75915TAK8<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |      5203109 | PA      | $5200143.55    | 0.20%             | 2031-05-19      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| OLIN CORPORATION                                                              | OLIN CORP SR UNSECURED 144A 04/33 6.625                  | CUSIP: 680665AN6<br>LEI: 549300GKK294V7W57P06 | Short            | DBT              | CORP              | US        |     -2747000 | PA      | $-2764602.78   | -0.11%            | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W-8                                                 | FANNIEMAE WHOLE LOAN FNW 2003 W8 3F2                     | CUSIP: 31393CX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          613 | PA      | $611.83        | 0.00%             | 2042-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4015                                                       | FREDDIE MAC FHR 4015 BI                                  | CUSIP: 3137ANBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506429 | PA      | $40633.11      | 0.00%             | 2032-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       105250 | PA      | $105250.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                           | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 4A1 144A       | CUSIP: 74930PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114060 | PA      | $112831.69     | 0.00%             | 2037-08-27      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5123                                                   | FREDDIE MAC FHR 5123 IN                                  | CUSIP: 3137H15W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4203698 | PA      | $748781.21     | 0.03%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INGEVITY CORPORATION                                                          | INGEVITY CORP COMPANY GUAR 144A 11/28 3.875              | CUSIP: 45688CAB3<br>LEI: 5493009UTFC4B5IMGF87 | Short            | DBT              | CORP              | US        |       -20000 | PA      | $-19235.08     | -0.00%            | 2028-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                            | AMERICAN HONDA FINANCE SR UNSECURED 08/27 VAR            | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $6112689.53    | 0.24%             | 2027-08-13      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A16       | CUSIP: 02147MAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       792964 | PA      | $258856.62     | 0.01%             | 2036-07-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                      | SERVICE PROPERTIES TRUST SR SECURED 144A 11/31 8.625     | CUSIP: 81761LAC6<br>LEI: 529900IS770AG1K9QG27 | Short            | DBT              | CORP              | US        |      -475000 | PA      | $-506097.78    | -0.02%            | 2031-11-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 2A1         | CUSIP: 16163LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10649 | PA      | $10607.71      | 0.00%             | 2035-06-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QA10                                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA10 A1         | CUSIP: 74922NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45395 | PA      | $39512.63      | 0.00%             | 2036-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A         | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129652 | PA      | $109024.10     | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-202.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                        | FREDDIEMAC STRIP FHS 365 C10                             | CUSIP: 31325XUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2457242 | PA      | $503838.11     | 0.02%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6LIA9 PIMCO FPPSWAPTION 3.8 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IE        |     29700000 | NC      | $1137940.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $301.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 5A9          | CUSIP: 93934FFK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78488 | PA      | $64186.01      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $30339.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $2882.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A         | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237297 | PA      | $215871.58     | 0.01%             | 2046-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS INC                                                  | FACTSET RESEARCH SYSTEMS SR UNSECURED 03/32 3.45         | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |      2200000 | PA      | $2033610.44    | 0.08%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-83538.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-14411.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS7                                         | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS7 M6          | CUSIP: 76110W3C8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       952249 | PA      | $951463.79     | 0.04%             | 2035-08-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 3A4               | CUSIP: 46628YBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1237796 | PA      | $363069.58     | 0.01%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 879680 FN 05/36 FLOATING VAR                   | CUSIP: 31409VJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17418 | PA      | $17944.22      | 0.00%             | 2036-05-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                          | KEURIG DR PEPPER                                         | CUSIP: 49271JX10<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |      1050000 | PA      | $1049877.05    | 0.04%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                      | AMERICAN ASSETS TRUST LP COMPANY GUAR 02/31 3.375        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              | CORP              | US        |      2100000 | PA      | $1908359.27    | 0.07%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1          | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       391185 | PA      | $231992.02     | 0.01%             | 2047-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $4845.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       376264 | PA      | $351576.39     | 0.01%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A       | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129288 | PA      | $114109.48     | 0.00%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LIMITED                                                    | SIRIUS REAL ESTATE LTD SR UNSECURED REGS 06/26 1.125     | CUSIP: ACI1YMJ56<br>LEI: 213800NURUF5W8QSK566 | Long             | DBT              | CORP              | GG        |      1900000 | PA      | $2205867.22    | 0.09%             | 2026-06-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                                     | ROGERS COMMUNICATIONS IN SUBORDINATED 04/55 VAR          | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Short            | DBT              | CORP              | CA        |     -3845000 | PA      | $-4014183.85   | -0.16%            | 2055-04-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.691 06/27/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $4596210.07    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                          | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR            | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $422380.00     | 0.02%             | 2031-05-13      | Floating      | 14.46%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-0.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC6                           | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC6 A1         | CUSIP: 073879LN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       406829 | PA      | $363810.41     | 0.01%             | 2034-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-A                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 A 2A1            | CUSIP: 92977TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16283 | PA      | $15910.86      | 0.00%             | 2036-05-20      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $19665.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $2365.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE COMPANY INC                                                 | ACADIA HEALTHCARE CO INC COMPANY GUAR 144A 04/29 5       | CUSIP: 00404AAP4<br>LEI: 5493005CW985Y9D0NC11 | Short            | DBT              | CORP              | US        |     -2260000 | PA      | $-2214645.64   | -0.09%            | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                       | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 2A2        | CUSIP: 939336G49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11436 | PA      | $10046.20      | 0.00%             | 2033-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORPORATION 01/26 ZCP                             | CUSIP: 6840C3AG8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      1750000 | PA      | $1728398.00    | 0.07%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3348000 | PA      | $3348000.00    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                       | DARLING INGREDIENTS INC COMPANY GUAR 144A 06/30 6        | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Short            | DBT              | CORP              | US        |     -4775000 | PA      | $-4825763.03   | -0.19%            | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIL3 PIMCO FXVAN PUT USD ZAR 17.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -31542000 | NC      | $-817063.97    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1            | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       195011 | PA      | $173026.52     | 0.01%             | 2046-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A10                                          | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A3          | CUSIP: 45660LXM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80823 | PA      | $34819.32      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A1                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A1 1A1A        | CUSIP: 466287AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       342563 | PA      | $294042.04     | 0.01%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5167                                                       | FREDDIE MAC FHR 5167 MI                                  | CUSIP: 3137H3M33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9092860 | PA      | $1216240.08    | 0.05%             | 2051-11-25      | Fixed         | 3.00%                 | 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        |        27684 | PA      | $26271.72      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1         | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       387988 | PA      | $370094.28     | 0.01%             | 2036-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                     | VMED O2 UK FINANCING I VMED O2 UK FINANCING I            | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      4800000 | PA      | $5049062.40    | 0.20%             | 2032-04-15      | Fixed         | 7.75%                 | 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        |        66209 | PA      | $65958.81      | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | GOLDMAN SACHS REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       142635 | PA      | $142635.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1       | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1928 | PA      | $1956.28       | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       201242 | PA      | $201242.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | INTESA SANPAOLO SPA JR SUBORDINA REGS 12/99 VAR          | CUSIP: ACI0RSP49<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      1700000 | PA      | $2097965.72    | 0.08%             | 2027-01-11      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 2A2A        | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       194560 | PA      | $167811.97     | 0.01%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-123056.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1           | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220219 | PA      | $171289.67     | 0.01%             | 2036-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $22559.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2         | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1656 | PA      | $1565.95       | 0.00%             | 2034-07-19      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                            | BACARDI MARTINI B V                                      | CUSIP: 05634EXG2<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1197546.24    | 0.05%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                                       | STANDARD INDUSTRI INC/NY SR UNSECURED REGS 11/26 2.25    | CUSIP: ACI1GX0P8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1905556 | PA      | $2226270.33    | 0.09%             | 2026-11-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-47                                                     | FANNIE MAE FNR 2017 47 ST                                | CUSIP: 3136AWWU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       302061 | PA      | $41343.72      | 0.00%             | 2047-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-53139.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $5699.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS INC                                                  | FACTSET RESEARCH SYSTEMS SR UNSECURED 03/27 2.9          | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |      1200000 | PA      | $1178743.12    | 0.05%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC                                                           | TREEHOUSE FOODS INC COMPANY GUAR 09/28 4                 | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Short            | DBT              | CORP              | US        |     -2400000 | PA      | $-2339115.46   | -0.09%            | 2028-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDL 2006-BC4                                      | SPECIALTY UNDERWRITING + RESID SURF 2006 BC4 A2C         | CUSIP: 84751YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3674468 | PA      | $1275463.09    | 0.05%             | 2037-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          -79 | NC      | $-16924.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260102                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-23907.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1628.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB1 A31        | CUSIP: 17307GDL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3542 | PA      | $3549.84       | 0.00%             | 2034-02-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| NESCO HOLDINGS II INC                                                         | NESCO HOLDINGS II INC SECURED 144A 04/29 5.5             | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Short            | DBT              | CORP              | US        |     -4305000 | PA      | $-4219201.35   | -0.17%            | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2010750 | PA      | $2010750.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $9006.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-2085.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 572134 GN 10/34 FIXED 5.5                      | CUSIP: 36200TSX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17373 | PA      | $18266.82      | 0.00%             | 2034-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS7316 FN 06/46 FIXED 3.5                      | CUSIP: 3138WHDW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51242 | PA      | $47941.85      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3            | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       700000 | PA      | $562363.87     | 0.02%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 9 A12                   | CUSIP: 12544XAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1489478 | PA      | $696584.85     | 0.03%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                              | ORGANON + CO/ORGANON 05/34 7.875                         | CUSIP: 68622FAB7<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -2549000 | PA      | $-2364582.40   | -0.09%            | 2034-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD / AIRCASTLE IRELAND DAC                                         | AIRCASTLE / IRELAND DAC COMPANY GUAR 144A 10/31 5.75     | CUSIP: 00929JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1900000 | PA      | $1980585.52    | 0.08%             | 2031-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3         | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1051877 | PA      | $707507.29     | 0.03%             | 2037-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $49006.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWENS-BROCKWAY GLASS CONTAINER INC                                            | OWENS BROCKWAY COMPANY GUAR 144A 05/31 7.25              | CUSIP: 69073TAU7<br>LEI: V2UQUCDZJ9WY98W8QU33 | Short            | DBT              | CORP              | US        |     -3125000 | PA      | $-3185081.25   | -0.13%            | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1118960 | PA      | $1118960.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                                                           | SIRIUS XM RADIO LLC COMPANY GUAR 144A 09/26 3.125        | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Short            | DBT              | CORP              | US        |     -2500000 | PA      | $-2467940.48   | -0.10%            | 2026-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A3        | CUSIP: 12668AUS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2009048 | PA      | $793979.36     | 0.03%             | 2035-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11        | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       560069 | PA      | $240107.59     | 0.01%             | 2036-02-19      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3510.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-18642.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/33 VAR               | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      9200000 | PA      | $8419513.49    | 0.33%             | 2033-01-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                          | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     10500000 | PA      | $10803962.19   | 0.42%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-5636.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3604500 | PA      | $3604500.00    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 3F 2A3                  | CUSIP: 362334JR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129117 | PA      | $116091.20     | 0.00%             | 2036-03-25      | Fixed         | 5.75%                 | 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        |         2050 | PA      | $2075.66       | 0.00%             | 2044-10-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $75847.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM4855 FN 04/48 FIXED VAR                      | CUSIP: 3140J9MD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6857819 | PA      | $6582672.72    | 0.26%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 09/29 VAR                  | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      6400000 | PA      | $6003568.70    | 0.24%             | 2029-09-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-3101.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-878352.28    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                          | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR         | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $421600.00     | 0.02%             | 2031-05-13      | Floating      | 15.46%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A4        | CUSIP: 02150GAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       797879 | PA      | $251382.97     | 0.01%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                         | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1           | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6803 | PA      | $6883.06       | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15           | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1500000 | PA      | $1495336.67    | 0.06%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2478125 | PA      | $2478125.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA3                                        | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA3 1A          | CUSIP: 749575AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6801 | PA      | $0.07          | 0.00%             | 2036-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A4         | CUSIP: 17311YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4314753 | PA      | $1508192.50    | 0.06%             | 2037-03-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C             | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1487399 | PA      | $641650.23     | 0.03%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B        | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29452 | PA      | $24614.18      | 0.00%             | 2047-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1          | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4136 | PA      | $3870.61       | 0.00%             | 2033-02-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4          | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       444932 | PA      | $168822.01     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251007                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $47008.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        26469 | PA      | $26469.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-182316.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $8492.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                      | TRIAXX PRIME CDO TRIAX 2007 1A A1D 144A                  | CUSIP: 896006AB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3599253 | PA      | $33199.51      | 0.00%             | 2039-10-02      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                                | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       286730 | PA      | $277339.17     | 0.01%             | 2035-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080331 G2 10/29 FLOATING VAR                | CUSIP: 36225CLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          227 | PA      | $227.92        | 0.00%             | 2029-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-156985.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-9                                                             | FANNIE MAE FNR 2007 9 FA                                 | CUSIP: 31396PTW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32295 | PA      | $31992.20      | 0.00%             | 2037-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -159600000 | PA      | $-158305888.19 | -6.22%            | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                               | VERAISON RE LTD UNSECURED 144A 03/33 VAR                 | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $303315.00     | 0.01%             | 2033-03-08      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A          | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32098 | PA      | $31297.03      | 0.00%             | 2042-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| OLIN CORPORATION                                                              | OLIN CORP SR UNSECURED 02/30 5                           | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Short            | DBT              | CORP              | US        |     -2500000 | PA      | $-2444229.50   | -0.10%            | 2030-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2004 A2 4A1               | CUSIP: 466247CL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25414 | PA      | $25001.57      | 0.00%             | 2034-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3383 FN 06/48 FIXED 3.5                      | CUSIP: 31418CXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114445 | PA      | $106175.10     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $2625.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-5941.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300515                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $18671.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20260115                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $11239.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-10                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 10 2A1A        | CUSIP: 41162CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68981 | PA      | $60914.04      | 0.00%             | 2036-11-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2025875 | PA      | $2025875.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| AMNEAL PHARMACEUTICALS LLC                                                    | AMNEAL PHARMACEUTICALS L SR SECURED 144A 08/32 6.875     | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Short            | DBT              | CORP              | US        |     -2625000 | PA      | $-2718088.70   | -0.11%            | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2811375 | PA      | $2811375.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $59072.75      | 0.00%             |  |  |  | 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        |      2434167 | PA      | $2437696.08    | 0.10%             | 2030-10-24      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $6925.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J2                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J2 1A7         | CUSIP: 12667F6C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       231101 | PA      | $192118.13     | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                       | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4          | CUSIP: 46602UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3793945 | PA      | $1269537.23    | 0.05%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                           | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1               | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          207 | PA      | $193.35        | 0.00%             | 2028-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-9                                                        | LEHMAN XS TRUST LXS 2006 9 A1C                           | CUSIP: 52523DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20662850 | PA      | $18611163.14   | 0.73%             | 2046-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM35 ICE                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $335.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR           | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          314 | PA      | $321.47        | 0.00%             | 2035-09-01      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A4              | CUSIP: 61748BAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       802737 | PA      | $404661.01     | 0.02%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C             | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16848887 | PA      | $8796903.41    | 0.35%             | 2036-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 1A1         | CUSIP: 02151AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       469683 | PA      | $217084.48     | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-333006.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A1A       | CUSIP: 933638AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59176 | PA      | $56666.28      | 0.00%             | 2047-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CHEMOURS COMPANY                                                              | CHEMOURS CO COMPANY GUAR 144A 11/28 5.75                 | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Short            | DBT              | CORP              | US        |      -225000 | PA      | $-219667.43    | -0.01%            | 2028-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  DEC25 IFLL 20251229                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          246 | NC      | $61570.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CONCENTRA HEALTH SERVICES INC                                                 | CONCENTRA HEALTH SERVICE COMPANY GUAR 144A 07/32 6.875   | CUSIP: 20600DAA1<br>LEI: 984500GB84105F75DE32 | Short            | DBT              | CORP              | US        |     -1075000 | PA      | $-1117604.40   | -0.04%            | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PHINIA INC                                                                    | PHINIA INC COMPANY GUAR 144A 10/32 6.625                 | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Short            | DBT              | CORP              | US        |       -16000 | PA      | $-16504.29     | -0.00%            | 2032-10-15      | Fixed         | 6.62%                 | 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        |        82536 | PA      | $58222.47      | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251027                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $23076.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $130979.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-586.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-187533.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABFA9 PIMCO SWAPTION 3.507 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1600000 | NC      | $-506.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                           | SAXON ASSET SECURITIES TRUST SAST 2006 3 A3              | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       211976 | PA      | $208732.29     | 0.01%             | 2046-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1022.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCA VINTAGE 2026  DEC26 IFED 20261224                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |          469 | NC      | $-63495.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                           | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5          | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2277269 | PA      | $1370007.41    | 0.05%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                      | CONSTELLATION BRANDS INC SR UNSECURED 05/27 4.35         | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      3300000 | PA      | $3311095.33    | 0.13%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C             | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7500386 | PA      | $3587700.75    | 0.14%             | 2036-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $7170.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11         | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       446181 | PA      | $329112.93     | 0.01%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-5Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-766176.90    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $764.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-4863.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2495338.09   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20260105                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $155904.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $1611.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A2         | CUSIP: 92990GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18209 | PA      | $14581.46      | 0.00%             | 2037-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 986863 FN 08/38 FIXED 6.5                      | CUSIP: 31415RJG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          560 | PA      | $585.70        | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                        | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A     | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       299412 | PA      | $287537.41     | 0.01%             | 2036-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                  | SABINE PASS LIQUEFACTION SR SECURED 03/27 5              | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      1423000 | PA      | $1432037.89    | 0.06%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                    | GSR MORTGAGE LOAN TRUST GSR 2004 7 3A1                   | CUSIP: 36228F4R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21232 | PA      | $20612.33      | 0.00%             | 2034-06-25      | Floating      | 4.90%                 | 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        |        24998 | PA      | $26022.47      | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG        | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      5100000 | PA      | $663000.00     | 0.03%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 004164 G2 06/38 FIXED 6                     | CUSIP: 36202ETV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8381 | PA      | $8518.81       | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1106875 | PA      | $1106875.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       706500 | PA      | $706500.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-34943.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 03/28 VAR          | CUSIP: 53944YAS2<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      1900000 | PA      | $1887409.88    | 0.07%             | 2028-03-18      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-18139.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 S3 1A13              | CUSIP: 46629AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1411567 | PA      | $454716.55     | 0.02%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                                           | UNITED AIRLINES INC SR SECURED 144A 04/29 4.625          | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |      1600000 | PA      | $1576710.00    | 0.06%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4400000 | PA      | $4268405.77    | 0.17%             | 2055-10-14      | Fixed         | 4.50%                 | 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      | $-2040407.18   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1178438 | PA      | $1178437.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-7676.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       650000 | PA      | $650000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ACADIA HEALTHCARE COMPANY INC                                                 | ACADIA HEALTHCARE CO INC COMPANY GUAR 144A 03/33 7.375   | CUSIP: 00404AAQ2<br>LEI: 5493005CW985Y9D0NC11 | Short            | DBT              | CORP              | US        |     -2370000 | PA      | $-2463470.43   | -0.10%            | 2033-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                                      | COOPERAT RABOBANK UA/NY 10/26 5.5                        | CUSIP: 21688AAY8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      1900000 | PA      | $1930691.00    | 0.08%             | 2026-10-05      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ0998 FN 12/47 FIXED 3.5                      | CUSIP: 3140H2DC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141979 | PA      | $131455.70     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     75700000 | PA      | $75700000.00   | 2.97%             |  |  |  | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                               | SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B               | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | US        |       275963 | PA      | $276652.70     | 0.01%             | 2027-10-20      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C             | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8869663 | PA      | $3058505.57    | 0.12%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                                 | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                     | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       287008 | PA      | $287156.59     | 0.01%             | 2030-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A2        | CUSIP: 83613AAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1654967 | PA      | $1397818.03    | 0.05%             | 2037-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.80000 07/14/34-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $106874.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESCO DISTRIBUTION INC                                                        | WESCO DISTRIBUTION INC COMPANY GUAR 144A 03/33 6.375     | CUSIP: 95081QAS3<br>LEI: 549300I2CEZJG9N4AH67 | Short            | DBT              | CORP              | US        |     -3450000 | PA      | $-3578816.72   | -0.14%            | 2033-03-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                | BOMBARDIER INC SR UNSECURED 144A 02/28 6                 | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Short            | DBT              | CORP              | CA        |       -10000 | PA      | $-10033.18     | -0.00%            | 2028-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR             | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      4950000 | PA      | $4906252.69    | 0.19%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A1         | CUSIP: 74922LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148024 | PA      | $106322.92     | 0.00%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A10       | CUSIP: 12668BXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       894759 | PA      | $337773.08     | 0.01%             | 2036-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A2         | CUSIP: 74922EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       134916 | PA      | $110585.42     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-37T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 37T1 A5        | CUSIP: 12667G2X0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1950725 | PA      | $1168971.64    | 0.05%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                              | AEGIS ASSET BACKED SECURITIES AABST 2004 6 M2            | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98485 | PA      | $94205.18      | 0.00%             | 2035-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251205                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-186578.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CACI INTERNATIONAL INC                                                        | CACI INTERNATIONAL INC COMPANY GUAR 144A 06/33 6.375     | CUSIP: 127190AE6<br>LEI: SYRPI2D1O9WRTS2WX210 | Short            | DBT              | CORP              | US        |     -2200000 | PA      | $-2272161.43   | -0.09%            | 2033-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORPORATION 11/25 ZCP                             | CUSIP: 6840C2YK5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $3678296.91    | 0.14%             | 2025-11-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIK5 PIMCO FXVAN PUT USD ZAR 18.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     15771000 | NC      | $850104.21     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B        | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1214594 | PA      | $334628.13     | 0.01%             | 2036-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC         | ALBERTSONS COS/SAFEWAY COMPANY GUAR 144A 03/33 6.25      | CUSIP: 01309QAB4<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -1100000 | PA      | $-1126642.00   | -0.04%            | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2B         | CUSIP: 00075WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2264318 | PA      | $1275365.30    | 0.05%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                       | NTT FINANCE CORP SR UNSECURED 144A 07/27 4.567           | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      1400000 | PA      | $1410293.08    | 0.06%             | 2027-07-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                           | GLOBAL PAYMENTS INC SR UNSECURED 11/31 2.9               | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |       500000 | PA      | $448572.72     | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M4           | CUSIP: 86358EPT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       684250 | PA      | $574958.68     | 0.02%             | 2035-01-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      9800000 | NC      | $550191.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A    | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162938 | PA      | $96176.93      | 0.00%             | 2037-06-27      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65400000 | PA      | $63410820.41   | 2.49%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 07/35 FIXED 7.35                         | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       785714 | PA      | $857105.08     | 0.03%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | HOCHTIEF AG SNR SE SP JPM                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |            1 | NC      | $197324.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A2       | CUSIP: 02146VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       300445 | PA      | $220049.32     | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-11                                                | COUNTRYWIDE HOME LOANS CWHL 2004 11 2A1                  | CUSIP: 12669FA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46637 | PA      | $44558.42      | 0.00%             | 2034-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 11A1               | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       835333 | PA      | $752820.55     | 0.03%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                   | LETRA TESOURO NACIONAL BILLS 04/26 0.00000               | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    521500000 | PA      | $91534475.64   | 3.60%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN26 XCME 20260915                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          316 | NC      | $-26079.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-8                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 3CB1         | CUSIP: 93934FDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281661 | PA      | $224379.50     | 0.01%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       190712 | PA      | $190712.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                                       | BOOZ ALLEN HAMILTON INC COMPANY GUAR 08/33 5.95          | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1050754.08    | 0.04%             | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-56357.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       574062 | PA      | $574062.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $127.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1200375 | PA      | $1200375.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      2200000 | PA      | $2132316.12    | 0.08%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251003                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $130461.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -127 | NC      | $-25796.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2937.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                                   | VIBRANT CLO LTD VIBR 2019 11A A1R1 144A                  | CUSIP: 92558NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1483879 | PA      | $1486327.92    | 0.06%             | 2032-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       196261 | PA      | $196261.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                       | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1        | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       388677 | PA      | $345319.95     | 0.01%             | 2036-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1013356 | PA      | $1007584.86    | 0.04%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       915469 | PA      | $915468.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3241 FN 03/50 FIXED VAR                      | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60835544 | PA      | $54392594.68   | 2.14%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1061187.93    | 0.04%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 382                                                        | FREDDIEMAC STRIP FHS 382 C1                              | CUSIP: 3142FSZ93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14468578 | PA      | $2182754.89    | 0.09%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $11243.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                     | ONEOK INC COMPANY GUAR 09/33 6.05                        | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1909367.30    | 0.07%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20260316                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $8543.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $2733.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABZA7 PIMCO SWAPTION 2.79 PUT EUR 20251006           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1500000 | NC      | $-293.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                           | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 1A3A       | CUSIP: 07389QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4755724 | PA      | $1641269.95    | 0.06%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 03/12/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-54752.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3855594 | PA      | $3855594.00    | 0.15%             |  |  |  | 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        |        51554 | PA      | $39335.43      | 0.00%             | 2035-11-25      | Floating      | 4.85%                 | 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        |     47001345 | PA      | $44501805.48   | 1.75%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-6161.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       573562 | PA      | $573562.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          -79 | NC      | $-8805.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES LIMITED                                                | THAMES WATER UTIL LTD SR SECURED 144A 03/27 0.00000      | CUSIP: ACI2VX3Q4<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |        15628 | PA      | $18180.78      | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                    | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1289 | PA      | $1289.50       | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                    | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7     | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |      4300000 | PA      | $1312769.11    | 0.05%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00000 02/26/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2758.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMSCOPE TECHNOLOGIES LLC (AKA: ANDREW CORP)                                 | COMMSCOPE TECH LLC COMPANY GUAR 144A 03/27 5             | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Short            | DBT              | CORP              | US        |     -1297000 | PA      | $-1287922.82   | -0.05%            | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 02/26 2.125   | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       161000 | PA      | $159363.16     | 0.01%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2D                | CUSIP: 66988WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1022647 | PA      | $472448.71     | 0.02%             | 2036-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                | COUNTRYWIDE HOME LOANS CWHL 2004 R1 1AF 144A             | CUSIP: 12669F7J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6922 | PA      | $6659.39       | 0.00%             | 2034-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/29 5.75      | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       500000 | PA      | $502287.69     | 0.02%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       339219 | PA      | $339218.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO260626                               | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   6856986000 | PA      | $4037699.05    | 0.16%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -145000000 | PA      | $-116903800.95 | -4.59%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                            | MLCC MORTGAGE INVESTORS INC MLCC 2004 E XA               | CUSIP: 59020UJU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       297367 | PA      | $385.80        | 0.00%             | 2029-11-25      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 4A1        | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31229 | PA      | $29965.51      | 0.00%             | 2037-06-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CLEAR CHANNEL OUTDOOR HO COMPANY GUAR 144A 06/29 7.5     | CUSIP: 18453HAD8<br>LEI: 254900XBEE6V1ENYS150 | Short            | DBT              | CORP              | US        |     -3820000 | PA      | $-3714332.69   | -0.15%            | 2029-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       185041 | PA      | $185041.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 07/31 VAR                  | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      1700000 | PA      | $1760634.22    | 0.07%             | 2031-07-08      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 896497 FN 08/36 FIXED 6.5                      | CUSIP: 31410S7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36176 | PA      | $37913.86      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                   | ASBURY AUTOMOTIVE GROUP COMPANY GUAR 03/30 4.75          | CUSIP: 043436AV6<br>LEI: 549300JH4DTA7U42GL91 | Short            | DBT              | CORP              | US        |     -2000000 | PA      | $-1949509.00   | -0.08%            | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2007-1                                            | NOMURA HOME EQUITY LOAN INC NHELI 2007 1 1A4             | CUSIP: 65537KAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       395000 | PA      | $109611.41     | 0.00%             | 2037-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                       | FREDDIE MAC FHR 4923 SE                                  | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12854328 | PA      | $1746752.78    | 0.07%             | 2048-04-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1207500 | PA      | $1207500.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1124750 | PA      | $1124750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RASC TRUST 2006-EMX6                                                          | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX6 A4         | CUSIP: 754065AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2039016 | PA      | $1805015.72    | 0.07%             | 2036-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2006-3                                              | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 3 1A1            | CUSIP: 02660UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97980 | PA      | $82147.03      | 0.00%             | 2046-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                          | GSAMP TRUST GSAMP 2006 FM2 A2C                           | CUSIP: 36245DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1340036 | PA      | $463635.03     | 0.02%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH7                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH7 1A1         | CUSIP: 75115LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28995 | PA      | $28032.68      | 0.00%             | 2037-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTERNATIONAL                                                     | MGM RESORTS INTL COMPANY GUAR 04/32 6.5                  | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Short            | DBT              | CORP              | US        |     -1990000 | PA      | $-2028643.81   | -0.08%            | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                   | INTELSAT EMERGENCE SA COMMON STOCK                       | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |        22273 | NS      | $0.02          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260630                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $224.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-3                                                 | SLM STUDENT LOAN TRUST SLMA 2013 3 B                     | CUSIP: 78447YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       104000 | PA      | $101244.76     | 0.00%             | 2076-09-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 885812 FN 06/36 FIXED 6.5                      | CUSIP: 31410DDR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17984 | PA      | $18762.50      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251215                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $1282.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                              | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1                | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41055 | PA      | $35230.79      | 0.00%             | 2037-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1113750 | PA      | $1113750.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2001-W4                                                 | FANNIEMAE WHOLE LOAN FNW 2001 W4 AF6                     | CUSIP: 3139216U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          418 | PA      | $417.66        | 0.00%             | 2032-01-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-16401.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-30Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4605303.23    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A6                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A6 2A13         | CUSIP: 76113FBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       327592 | PA      | $157836.59     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 02/33 10                | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      2300000 | PA      | $2670587.50    | 0.10%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ0647 FN 03/48 FIXED 3.5                      | CUSIP: 3140H1WH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106696 | PA      | $99130.33      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                                               | VENTURE CDO LTD VENTR 2017 28A A1R 144A                  | CUSIP: 92331AAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       266098 | PA      | $266241.86     | 0.01%             | 2030-07-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-329.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-34                                                            | FANNIE MAE FNR 2002 34 FB                                | CUSIP: 31392CP32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7276 | PA      | $7275.95       | 0.00%             | 2032-04-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MODULAIRE (BCP V MODULAR SERVICES FINANCE II PLC)                             | BCP MODULAR SERVICES SR SECURED REGS 11/28 4.75          | CUSIP: ACI210QC5<br>LEI: 213800227GGD6UI7PI97 | Long             | DBT              | CORP              | GB        |      6000000 | PA      | $6766674.85    | 0.27%             | 2028-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-476751.29    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                          | TARGA RES CORP 10/25 ZCP                                 | CUSIP: 87613EXH3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      4100000 | PA      | $4090907.02    | 0.16%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 870539 FN 03/36 FLOATING VAR                   | CUSIP: 31409GEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42000 | PA      | $42641.30      | 0.00%             | 2036-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      5900000 | PA      | $5900000.00    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2         | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3286319 | PA      | $818621.79     | 0.03%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2063875 | PA      | $2063875.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 4A1           | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324541 | PA      | $269057.70     | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A4        | CUSIP: 94983PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24527 | PA      | $24333.25      | 0.00%             | 2036-04-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2B             | CUSIP: 61753VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1916984 | PA      | $607643.07     | 0.02%             | 2037-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-120252.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/28 VAR           | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      4100000 | PA      | $4014517.75    | 0.16%             | 2028-02-24      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       100920 | PA      | $100920.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1900000 | NC      | $-7467.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       519531 | PA      | $519531.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -127 | NC      | $-17479.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-416.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1                | CUSIP: 12669GA50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          217 | PA      | $212.93        | 0.00%             | 2035-06-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING COMPANY INC                                         | HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 05/29 3.75    | CUSIP: 432833AJ0<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |      6500000 | PA      | $6257579.84    | 0.25%             | 2029-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                               | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1                  | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1079219 | PA      | $390575.31     | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $6209.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-5                                                             | FANNIE MAE FNR 2005 5 PA                                 | CUSIP: 31394B5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1881 | PA      | $1870.20       | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                                | GRAY MEDIA INC COMPANY GUAR 144A 11/31 5.375             | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Short            | DBT              | CORP              | US        |     -1664000 | PA      | $-1251132.55   | -0.05%            | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-73517.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                                            | BOSTON GAS COMPANY SR UNSECURED 144A 03/32 3.757         | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1791060.76    | 0.07%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                                      | ALTICE FRANCE HOLDING SA SR SECURED REGS 02/28 4         | CUSIP: ACI1LBML5<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |      2200000 | PA      | $933410.63     | 0.04%             | 2028-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                       | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/27 4.875    | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      5500000 | PA      | $5549365.91    | 0.22%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4           | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121322 | PA      | $104147.08     | 0.00%             | 2037-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      3488000 | PA      | $3488000.00    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1           | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185868 | PA      | $181578.76     | 0.01%             | 2034-05-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO260629                               | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   7462756000 | PA      | $4387779.71    | 0.17%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4        | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1175168 | PA      | $545559.26     | 0.02%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS REGS 09/28 VAR                               | CUSIP: 09659X2M3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      1200000 | PA      | $1144505.51    | 0.04%             | 2028-09-30      | Floating      | 1.90%                 | 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        |      7651664 | PA      | $7371596.34    | 0.29%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $371237.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25     | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |      2200000 | PA      | $2198219.36    | 0.09%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                 | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1048 | PA      | $1016.24       | 0.00%             | 2034-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-19587.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       186202 | PA      | $186202.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A14        | CUSIP: 12668BLY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38183 | PA      | $15672.35      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A3          | CUSIP: 68403FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       863769 | PA      | $491432.94     | 0.02%             | 2037-04-25      | Floating      | 4.51%                 | 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        |        38344 | PA      | $39955.88      | 0.00%             | 2034-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                  | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                 | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $992925.20     | 0.04%             | 2036-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A           | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        61399 | PA      | $57715.89      | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | 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        |    150200000 | PA      | $45860089.00   | 1.80%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2A             | CUSIP: 617538AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2779494 | PA      | $1395785.63    | 0.05%             | 2036-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       125100 | PA      | $125100.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA2                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA2 NB2         | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       430748 | PA      | $383338.77     | 0.02%             | 2035-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 1A1           | CUSIP: 059515AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21112 | PA      | $20681.16      | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | PARIBAS REPO                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1257179 | PA      | $1257178.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                                        | INTERNAL FLV+FGR INC 10/25 ZCP                           | CUSIP: 4595A2X61<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |       250000 | PA      | $249823.15     | 0.01%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-8036.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251003                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $31208.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVT NATL MORTGAGE ASSOC SERIES 2007-30                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 30 FH            | CUSIP: 38375J3R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171667 | PA      | $169650.67     | 0.01%             | 2037-05-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-6926.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1206625 | PA      | $1206625.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -3900000 | NC      | $-1210.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 25T1 A5        | CUSIP: 12667GRF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1135783 | PA      | $691750.02     | 0.03%             | 2035-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                          | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0 | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     34905000 | PA      | $3262092.15    | 0.13%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                           | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR             | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       800000 | PA      | $836920.00     | 0.03%             | 2033-04-10      | Floating      | 13.68%                | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                        | EXTRA SPACE STORAGE LP COMPANY GUAR 03/32 2.35           | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1129208.91    | 0.04%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                                                            | KENNEDY WILSON INC COMPANY GUAR 02/30 4.75               | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Short            | DBT              | CORP              | US        |     -3140000 | PA      | $-2934738.20   | -0.12%            | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $201997.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFX 144A   | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1300000 | PA      | $1236706.25    | 0.05%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                 | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                  | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       815193 | PA      | $262990.46     | 0.01%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR          | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      1500000 | PA      | $1496350.37    | 0.06%             | 2029-09-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| CLARIVATE SCIENCE HOLDINGS CORPORATION                                        | CLARIV SCI HLD CORP COMPANY GUAR 144A 07/29 4.875        | CUSIP: 18064PAD1<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -4440000 | PA      | $-4199990.03   | -0.16%            | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 01/28 4.337                    | CUSIP: 06738EAU9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       800000 | PA      | $800235.95     | 0.03%             | 2028-01-10      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA3210 FN 12/47 FIXED 3.5                      | CUSIP: 31418CR89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25859 | PA      | $24094.52      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | 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        |        18095 | PA      | $17821.39      | 0.00%             | 2033-03-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D             | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101746 | PA      | $51107.26      | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $1647.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 14.0087 05/12/25-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-21351.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 21A1               | CUSIP: 07386HE98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       138853 | PA      | $111058.52     | 0.00%             | 2036-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 2A3        | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13983 | PA      | $12714.72      | 0.00%             | 2036-10-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED NATURAL FOODS INC                                                      | UNITED NATURAL FOODS INC COMPANY GUAR 144A 10/28 6.75    | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Short            | DBT              | CORP              | US        |     -2875000 | PA      | $-2883684.51   | -0.11%            | 2028-10-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-428                                                           | FANNIEMAE STRIP FNS 428 C16                              | CUSIP: 31423YJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6981478 | PA      | $1245006.43    | 0.05%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6VXA0 PIMCO FPPSWAPTION 3.255 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     31900000 | NC      | $988813.87     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       365625 | PA      | $365625.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SEALED AIR CORPORATION                                                        | SEALED AIR CORP COMPANY GUAR 144A 07/33 6.875            | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Short            | DBT              | CORP              | US        |     -1050000 | PA      | $-1141195.16   | -0.04%            | 2033-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1115500 | PA      | $1115500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWELL BRANDS INC                                                             | NEWELL BRANDS INC SR UNSECURED 144A 06/28 8.5            | CUSIP: 651229BG0<br>LEI: 549300LWGYFM1TVO1Z12 | Short            | DBT              | CORP              | US        |     -4225000 | PA      | $-4479497.10   | -0.18%            | 2028-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2004-2                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 2 4A1           | CUSIP: 86359BLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3517 | PA      | $3415.47       | 0.00%             | 2034-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251027                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-12447.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                               | BEAR STEARNS ALT A TRUST BALTA 2006 4 11A1               | CUSIP: 073871AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       747957 | PA      | $644456.99     | 0.03%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25100000 | PA      | $22051673.77   | 0.87%             | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      9800000 | NC      | $574399.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A16        | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1059884 | PA      | $372442.17     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 2A1         | CUSIP: 933634AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11988648 | PA      | $10400631.36   | 0.41%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 11/25 0.00000                              | CUSIP: 912797RQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        48000 | PA      | $47707.40      | 0.00%             | 2025-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/34 1.875                              | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     39840489 | PA      | $40435764.47   | 1.59%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                    | HARDWOOD FUNDING LLC CORP0HRF2                           | CUSIP: 955NUGII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2400000 | PA      | $2471634.43    | 0.10%             | 2032-06-07      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3           | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120984 | PA      | $122978.07     | 0.00%             | 2035-11-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5          | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    280500000 | PA      | $14965738.85   | 0.59%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-43CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 43CB 3A1       | CUSIP: 02149FAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6946143 | PA      | $1979270.77    | 0.08%             | 2037-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20251208                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $2953.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20251113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1347.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                                                          | CLEVELAND CLIFFS INC COMPANY GUAR 144A 04/30 6.75        | CUSIP: 185899AN1<br>LEI: 549300TM2WLI2BJMDD86 | Short            | DBT              | CORP              | US        |     -3300000 | PA      | $-3356611.50   | -0.13%            | 2030-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5058                                                       | FREDDIE MAC FHR 5058 JX                                  | CUSIP: 3137F8DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4453594 | PA      | $382359.34     | 0.02%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1          | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       529986 | PA      | $519924.90     | 0.02%             | 2034-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $242770.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/28 4.95    | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      3600000 | PA      | $3637415.30    | 0.14%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 79CB A3        | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       172935 | PA      | $94111.16      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1          | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2310031 | PA      | $1037151.16    | 0.04%             | 2045-06-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 790460 FN 09/34 FLOATING VAR                   | CUSIP: 31405JE91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2270 | PA      | $2308.13       | 0.00%             | 2034-09-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                 | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      5700000 | PA      | $5843711.59    | 0.23%             | 2027-12-22      | Floating      | 6.33%                 | 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        |       141745 | PA      | $141037.53     | 0.01%             | 2031-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PLN BOUGHT USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $8003.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGIZER HOLDINGS INC                                                        | ENERGIZER HOLDINGS INC COMPANY GUAR 144A 09/33 6         | CUSIP: 29272WAG4<br>LEI: 5493000D6NN0V57UME20 | Short            | DBT              | CORP              | US        |     -1125000 | PA      | $-1101683.63   | -0.04%            | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35         | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1366517 | PA      | $1319778.20    | 0.05%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| BELLE HAVEN ABS CDO LTD 2004-1A                                               | BELLE HAVEN ABS CDO LTD BLHV 2004 1A A1ST 144A           | CUSIP: 078446AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13512989 | PA      | $3548510.89    | 0.14%             | 2044-11-03      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 887017 FN 08/36 FIXED 6.5                      | CUSIP: 31410EPA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17521 | PA      | $18221.11      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $82922.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 831683 FN 07/36 FIXED 6.5                      | CUSIP: 31407H6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16287 | PA      | $17092.17      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-7.60         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARRIOTT OWNERSHIP RESORTS INC                                                | MARRIOTT OWNERSHIP RESOR COMPANY GUAR 144A 10/33 6.5     | CUSIP: 57164PAK2<br>LEI: BW4532OH033VURR0IT68 | Short            | DBT              | CORP              | US        |     -1125000 | PA      | $-1120656.80   | -0.04%            | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-1557.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 4A3         | CUSIP: 12667G5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       217984 | PA      | $187083.64     | 0.01%             | 2035-10-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                          | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75        | CUSIP: ACI2ZHVB7<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |        84294 | PA      | $126951.44     | 0.00%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-469.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-5                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 5 1A1           | CUSIP: 86363XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       819375 | PA      | $760411.20     | 0.03%             | 2037-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 02/28 5.4             | CUSIP: 91087BAU4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      1000000 | PA      | $1027800.00    | 0.04%             | 2028-02-09      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       407344 | PA      | $407343.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251010                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $22785.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $5572.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21915010 | PA      | $22391528.22   | 0.88%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                            | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7          | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       378445 | PA      | $347850.86     | 0.01%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                                          | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1            | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3834 | PA      | $3768.44       | 0.00%             | 2033-10-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SOFR/2.06000 10/27/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7761292.51    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -7400000 | NC      | $-13219.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BK1997 FN 04/48 FIXED 3.5                      | CUSIP: 3140HFGF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106359 | PA      | $98531.10      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251028                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $164117.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1135058 | PA      | $1135057.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM1 A2B         | CUSIP: 59020U5D3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1495291 | PA      | $163756.69     | 0.01%             | 2037-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                               | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26361 | PA      | $24453.07      | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7            | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    629025000 | PA      | $34551574.72   | 1.36%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       235969 | PA      | $235968.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A1         | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1287858 | PA      | $1117687.94    | 0.04%             | 2046-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36786 | PA      | $36617.36      | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                          | VOYA CLO LTD VOYA 2017 1A A1R 144A                       | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        53849 | PA      | $53889.68      | 0.00%             | 2030-04-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1        | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14447 | PA      | $8151.09       | 0.00%             | 2035-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -7500000 | NC      | $-1001.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BC5542 FN 03/46 FIXED 3.5                      | CUSIP: 3140F1EQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26775 | PA      | $25045.52      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $8184.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PEDIATRIX MEDICAL GROUP INC                                                   | PEDIATRIX MEDICAL GROUP COMPANY GUAR 144A 02/30 5.375    | CUSIP: 58502BAE6<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -1800000 | PA      | $-1789430.63   | -0.07%            | 2030-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                      | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5          | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |      2000000 | PA      | $2014871.26    | 0.08%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      4290000 | PA      | $4290000.00    | 0.17%             |  |  |  | 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      | $342.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY44 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $11872965.65   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                 | ALTICE FRANCE SA SR SECURED 144A 10/29 5.5               | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      2800000 | PA      | $2435821.78    | 0.10%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $324168.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SIX FLAGS ENTERTAINMENT CORPORATION                                           | SIX FLAGS ENTERTAINME COMPANY GUAR 144A 05/31 7.25       | CUSIP: 83001AAD4<br>LEI: 529900AS2CYWYFHRS781 | Short            | DBT              | CORP              | US        |     -3580000 | PA      | $-3583762.58   | -0.14%            | 2031-05-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6326 FN 12/45 FIXED 3.5                      | CUSIP: 3138WGA46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73629 | PA      | $68923.97      | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                      | CUSIP: 05554WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1410000 | PA      | $1060417.43    | 0.04%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A           | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          852 | PA      | $860.76        | 0.00%             | 2034-03-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A            | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2034507 | PA      | $2746058.26    | 0.11%             | 2049-12-21      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                       | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2          | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2203354 | PA      | $531382.86     | 0.02%             | 2036-09-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                               | BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1               | CUSIP: 073871AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8972 | PA      | $5673.10       | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                       | DOMINICAN REPUBLIC SR UNSECURED REGS 03/37 10.5          | CUSIP: P3579ECY1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     11400000 | PA      | $196350.49     | 0.01%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-65552.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 04/33 5.625          | CUSIP: 382550BK6<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |     -2275000 | PA      | $-2118121.23   | -0.08%            | 2033-04-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-138353.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2500000 | PA      | $2495499.10    | 0.10%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1769.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                                         | TD SYNNEX CORP SR UNSECURED 08/28 2.375                  | CUSIP: 87162WAH3<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1234269.84    | 0.05%             | 2028-08-09      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHE TARD INC 10/25 ZCP                   | CUSIP: 01626UX34<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |       750000 | PA      | $749731.43     | 0.03%             | 2025-10-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 21A1         | CUSIP: 07384MK27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15109 | PA      | $15011.65      | 0.00%             | 2034-04-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                       | FREDDIE MAC FHR 5426 AI                                  | CUSIP: 3137HCXV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18317004 | PA      | $809151.83     | 0.03%             | 2050-03-15      | Floating      | 1.37%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM2                                                  | ACE SECURITIES CORP. ACE 2006 FM2 A2B                    | CUSIP: 00442CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2792495 | PA      | $630115.95     | 0.02%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-4217.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                  | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      1700000 | PA      | $1594690.15    | 0.06%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 2A4A         | CUSIP: 17313QAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40499 | PA      | $39831.94      | 0.00%             | 2037-09-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       209250 | PA      | $209250.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                                   | EQUINIX INC SR UNSECURED 04/32 3.9                       | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $2879107.02    | 0.11%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6763 FN 03/46 FIXED 3.5                      | CUSIP: 3138WGQR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       424241 | PA      | $397664.96     | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                | TITULOS DE TESORERIA BONDS 01/31 6.5                     | CUSIP: ACI302XY4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  68586224740 | PA      | $17592226.87   | 0.69%             | 2031-01-22      | Fixed         | 6.50%                 | 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        |         1364 | PA      | $1340.86       | 0.00%             | 2032-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A                                         | SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A      | CUSIP: ACI1YTXT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      5758522 | PA      | $6766960.56    | 0.27%             | 2032-07-20      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-310.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 03/28 VAR                | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |      5000000 | PA      | $4993617.45    | 0.20%             | 2028-03-24      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                        | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1         | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1145 | PA      | $484.57        | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A                                | AURIUM CLO ACLO 4A AR 144A                               | CUSIP: ACI21GDS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      5366780 | PA      | $6304033.22    | 0.25%             | 2031-01-16      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR3                                         | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1         | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15681 | PA      | $11989.26      | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A8          | CUSIP: 05949ADN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30922 | PA      | $30101.59      | 0.00%             | 2034-05-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1         | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       712361 | PA      | $627563.01     | 0.02%             | 2037-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       981250 | PA      | $981250.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $419.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A2         | CUSIP: 93364FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       182892 | PA      | $164271.47     | 0.01%             | 2037-07-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                               | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR              | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |       500000 | PA      | $543275.00     | 0.02%             | 2031-05-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $53977.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A3              | CUSIP: 31394JDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8860 | PA      | $9564.52       | 0.00%             | 2043-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5096                                                       | FREDDIE MAC FHR 5096 NI                                  | CUSIP: 3137FYS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5414661 | PA      | $962768.40     | 0.04%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                         | AMERICAN AIRLINES INC AMERICAN AIRLINES INC              | CUSIP: 023771T40<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |       -20000 | PA      | $-20875.56     | -0.00%            | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251125                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $2223.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080030 G2 01/27 FLOATING VAR                | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3406 | PA      | $3407.21       | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AVIENT CORPORATION                                                            | AVIENT CORP SR UNSECURED 144A 08/30 7.125                | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Short            | DBT              | CORP              | US        |     -1100000 | PA      | $-1131309.30   | -0.04%            | 2030-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL LLC                                                    | HUNTSMAN INTERNATIONAL L SR UNSECURED 06/31 2.95         | CUSIP: 44701QBF8<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Short            | DBT              | CORP              | US        |     -1300000 | PA      | $-1097343.07   | -0.04%            | 2031-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                                | COUNTRYWIDE HOME LOANS CWHL 2005 24 A1                   | CUSIP: 126694JR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42316 | PA      | $21549.72      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-4674.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1067500 | PA      | $1067500.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25C 130.5 EXP 10/24/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -32 | NC      | $-3381.27      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ING GROEP NV                                                                  | ING GROEP NV SR UNSECURED 03/28 VAR                      | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      3500000 | PA      | $3490171.27    | 0.14%             | 2028-03-28      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                | BOMBARDIER INC SR UNSECURED 144A 11/30 8.75              | CUSIP: 097751CA7<br>LEI: W7L3VLU8EHQY34Z36697 | Short            | DBT              | CORP              | CA        |       -40000 | PA      | $-43185.68     | -0.00%            | 2030-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PERRIGO FINANCE UNLIMITED CO (AKA: PERRIGO FINANCE PLC)                       | PERRIGO FINANCE UNLIMITE COMPANY GUAR 06/30 4.9          | CUSIP: 71429MAC9<br>LEI: 549300E86RB6YCTMRM83 | Short            | DBT              | CORP              | IE        |     -3450000 | PA      | $-3370264.26   | -0.13%            | 2030-06-15      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | GOLDMAN SACHS GROUP INC SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3827.40       | 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        |   1181000000 | PA      | $6123295.53    | 0.24%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| BALL CORPORATION                                                              | BALL CORP COMPANY GUAR 03/28 6.875                       | CUSIP: 058498AY2<br>LEI: 0BGI85ALH27ZJP15DY16 | Short            | DBT              | CORP              | US        |        -8000 | PA      | $-8158.97      | -0.00%            | 2028-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20251113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-5787.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2084375 | PA      | $2084375.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -4500000 | NC      | $-950.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3              | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $2507551.18    | 0.10%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                        | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 M1          | CUSIP: 86358EAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35907 | PA      | $36837.84      | 0.00%             | 2033-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3                        | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1         | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       172075 | PA      | $136412.11     | 0.01%             | 2036-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B             | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49565 | PA      | $21899.56      | 0.00%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7572.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $146204.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS BORROWER LLC / HILTON GRAND VACATIONS BORROWER INC     | HILTON GRAND VAC LLC/INC SR UNSECURED 144A 06/29 5       | CUSIP: 43284MAA6<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |       -19000 | PA      | $-18285.53     | -0.00%            | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                       | FREDDIE MAC FHR 4923 QS                                  | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4216142 | PA      | $572878.45     | 0.02%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                              | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A               | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66349 | PA      | $57624.49      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                      | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A1 144A    | CUSIP: 466308AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2177917 | PA      | $1719880.37    | 0.07%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP SR UNSECURED 02/30 2.559          | CUSIP: 606822BR4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |      1000000 | PA      | $930451.89     | 0.04%             | 2030-02-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     10067626 | PA      | $10067625.50   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11                 | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1       | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1970082 | PA      | $946057.39     | 0.04%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $15902.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080426 G2 07/30 FLOATING VAR                | CUSIP: 36225CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3564 | PA      | $3577.81       | 0.00%             | 2030-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260113                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-223419.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA4                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA4 A           | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       643662 | PA      | $589751.01     | 0.02%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 062938 FN 03/27 FLOATING VAR                   | CUSIP: 31362J4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           51 | PA      | $50.64         | 0.00%             | 2027-03-01      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                        | FREDDIEMAC STRIP FHS 389 C45                             | CUSIP: 31325YRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7921950 | PA      | $1360353.76    | 0.05%             | 2052-10-15      | Fixed         | 3.00%                 | 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        |      3000000 | PA      | $2966581.32    | 0.12%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-78378.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $34244.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA POOL 520822 GN 03/35 FIXED 5.5                      | CUSIP: 36211RSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7628 | PA      | $7824.18       | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A         | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       154455 | PA      | $146051.44     | 0.01%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| ARBYS RESTAURANT (IRB HOLDING CORP)                                           | IRB HOLDING CORP 2024 1ST LIEN TERM LOAN B               | CUSIP: 44988LAL1<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |      6221483 | PA      | $6229726.94    | 0.24%             | 2027-12-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 847534 FH 03/36 FLOATING VAR           | CUSIP: 3128JRLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5540 | PA      | $5666.47       | 0.00%             | 2036-03-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A4            | CUSIP: 12669LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1684581 | PA      | $1401382.08    | 0.06%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-OPT                                                          | GSAMP TRUST GSAMP 2004 OPT M1                            | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       509951 | PA      | $494215.52     | 0.02%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    555800000 | PA      | $550902512.72  | 21.64%            | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A             | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1248644 | PA      | $531622.02     | 0.02%             | 2037-03-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                           | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3         | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1304252 | PA      | $935504.20     | 0.04%             | 2037-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-NC1                                            | ASSET BACKED FUNDING CERTIFICA ABFC 2007 NC1 A2 144A     | CUSIP: 00076BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8620248 | PA      | $8160803.04    | 0.32%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S10                                        | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S10 1A7         | CUSIP: 74958DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       236502 | PA      | $192547.74     | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER COMPANY                                                         | GEORGIA POWER CO SR UNSECURED 05/32 4.7                  | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      6900000 | PA      | $6989440.91    | 0.27%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                               | HANESBRANDS INC COMPANY GUAR 144A 02/31 9                | CUSIP: 410345AQ5<br>LEI: GX5LWVWZLL5S4W1L2F20 | Short            | DBT              | CORP              | US        |      -400000 | PA      | $-423919.20    | -0.02%            | 2031-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS BV                                                         | BP CAPITAL MARKETS B.V. 09/31 3.36                       | CUSIP: ACI2R4D66<br>LEI: 7245003VD7E4T30HJD24 | Long             | DBT              | CORP              | NL        |      4100000 | PA      | $4877395.00    | 0.19%             | 2031-09-12      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A4         | CUSIP: 46628SAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       966730 | PA      | $255713.44     | 0.01%             | 2036-07-25      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-7                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 7 1A1          | CUSIP: 07384MX98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11306 | PA      | $8793.43       | 0.00%             | 2034-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1036 | PA      | $998.63        | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M2           | CUSIP: 86358EPR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1712587 | PA      | $1610978.55    | 0.06%             | 2035-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-472.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                                                           | NCL CORPORATION LTD SR UNSECURED 144A 02/32 6.75         | CUSIP: 62886HBR1<br>LEI: UNZWILHE4KMRP9K2L524 | Short            | DBT              | CORP              | BM        |      -926000 | PA      | $-952906.40    | -0.04%            | 2032-02-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.87400 03/05/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-42097.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $60913.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                               | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A    | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3344637 | PA      | $3921864.39    | 0.15%             | 2031-01-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  SEP25 XCME 20251216                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          316 | NC      | $-435891.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                              | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96              | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9285 | PA      | $3946.54       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-2                                                 | SLM STUDENT LOAN TRUST SLMA 2013 2 B                     | CUSIP: 78446CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       103000 | PA      | $98972.90      | 0.00%             | 2043-06-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251219                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-264017.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1622125 | PA      | $1622125.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2D                           | CUSIP: 3622MGAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       416702 | PA      | $206846.11     | 0.01%             | 2046-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-1                                                 | SLM STUDENT LOAN TRUST SLMA 2013 1 B                     | CUSIP: 78447MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       141000 | PA      | $140373.51     | 0.01%             | 2070-11-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| EMF-NL BV 2008-APRX                                                           | EMF NL BV EMFNL 2008 APRX A2 REGS                        | CUSIP: B39M0PII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       343439 | PA      | $402017.97     | 0.02%             | 2041-04-17      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-211040.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                            | FANNIE MAE FNR 2020 37 WI                                | CUSIP: 3136B97D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5630123 | PA      | $388032.59     | 0.02%             | 2050-06-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                           | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A       | CUSIP: 073888AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32768 | PA      | $33363.43      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106200000 | PA      | $100078893.25  | 3.93%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BARCLAYS CAPITAL REPO REPO                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |        14438 | PA      | $14437.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 310048 FN 02/38 FIXED VAR                      | CUSIP: 31374CL53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65441 | PA      | $69433.09      | 0.00%             | 2038-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG45 5Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $66650.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A2       | CUSIP: 12667GWR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38556 | PA      | $30984.87      | 0.00%             | 2035-08-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COMPASS MINERALS INTERNATIONAL INC                                            | COMPASS MINERALS INTERNA SR UNSECURED 144A 07/30 8       | CUSIP: 20451NAJ0<br>LEI: 2549008X9G8XP7YJGC47 | Short            | DBT              | CORP              | US        |     -1050000 | PA      | $-1098328.35   | -0.04%            | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA5                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA5 2A1         | CUSIP: 749236AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6083889 | PA      | $4029355.39    | 0.16%             | 2037-09-25      | Variable      | 6.20%                 | 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        |      9418307 | PA      | $4636171.03    | 0.18%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-204882.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A1           | CUSIP: 76114QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1357582 | PA      | $494291.74     | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SONIC AUTOMOTIVE INC                                                          | SONIC AUTOMOTIVE INC COMPANY GUAR 144A 11/29 4.625       | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Short            | DBT              | CORP              | US        |     -3000000 | PA      | $-2915714.10   | -0.11%            | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                              | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1               | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124616 | PA      | $97281.21      | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       799219 | PA      | $799218.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -52 | NC      | $-11599.62     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20260402                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-116140.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                 | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A     | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1003506.01    | 0.04%             | 2035-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A3         | CUSIP: 161630AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2366 | PA      | $2365.06       | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M5           | CUSIP: 36242DN66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       558494 | PA      | $600121.55     | 0.02%             | 2035-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2005-A                                       | BAYVIEW FINANCIAL ACQUISITION BAYV 2005 A A2A 144A       | CUSIP: 073250BN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43731 | PA      | $42576.80      | 0.00%             | 2040-02-28      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1900000 | NC      | $-460.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60150000 | PA      | $60610270.21   | 2.38%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                               | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       313243 | PA      | $141355.47     | 0.01%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $173677.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENI SPA                                                                       | ENI SPA ENI SPA                                          | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      1900000 | PA      | $1955543.44    | 0.08%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       196015 | PA      | $196015.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                           | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 T2A1          | CUSIP: 05951KAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121205 | PA      | $110173.20     | 0.00%             | 2036-10-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300812                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $8826.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                       | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 4.95    | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |      3300000 | PA      | $3328885.56    | 0.13%             | 2027-03-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 908600 FN 02/37 FIXED 6.5                      | CUSIP: 31411HNR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14407 | PA      | $15152.63      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                           | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 6A1 144A       | CUSIP: 74930PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1239398 | PA      | $1234507.44    | 0.05%             | 2036-06-27      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                           | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR             | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       600000 | PA      | $625650.00     | 0.02%             | 2032-06-07      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                     | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5     | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |      5100000 | PA      | $5180631.00    | 0.20%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 06/27 4.7               | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3112725.16    | 0.12%             | 2027-06-01      | Fixed         | 4.70%                 | 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        |      5500000 | PA      | $5455007.64    | 0.21%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-78                                                     | FANNIE MAE FNR 2014 78 IT                                | CUSIP: 3136ALQ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4973067 | PA      | $673553.17     | 0.03%             | 2043-07-25      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                               | GSR MORTGAGE LOAN TRUST GSR 2007 1F 3A4                  | CUSIP: 3622MPAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       309481 | PA      | $180911.03     | 0.01%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A3          | CUSIP: 43710EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2438727 | PA      | $1372737.81    | 0.05%             | 2037-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                 | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      2200000 | PA      | $2235546.41    | 0.09%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-204981.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFRF USD SF+26.161/1.7* 12/21/16-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5080930.75    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4            | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1073606.16    | 0.04%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-FLX2                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX2 A1A        | CUSIP: 45668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       198543 | PA      | $178302.36     | 0.01%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-W12                                                           | FANNIEMAE WHOLE LOAN FNW 2002 W12 AF5                    | CUSIP: 31392GSN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36596 | PA      | $37165.51      | 0.00%             | 2033-02-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-FR2                             | SECURITIZED ASSET BACKED RECEI SABR 2006 FR2 A3          | CUSIP: 81376VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2269917 | PA      | $1426449.58    | 0.06%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FINANCE DESIGNATED ACTIVITY COMPANY                     | SMBC AVIATION CAPITAL FI COMPANY GUAR 144A 06/28 2.3     | CUSIP: 78448TAF9<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |      2000000 | PA      | $1897809.64    | 0.07%             | 2028-06-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $41019.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD IDR BOUGHT USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $194.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J1                                                | COUNTRYWIDE HOME LOANS CWHL 2006 J1 3A1                  | CUSIP: 126694XX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       298008 | PA      | $96443.26      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 5A           | CUSIP: 61748HBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27843 | PA      | $26055.56      | 0.00%             | 2034-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                         | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B A 144A      | CUSIP: 63874EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       330000 | PA      | $288741.62     | 0.01%             | 2037-04-10      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251205                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-93706.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIO7 PIMCO FXVAN PUT USD BRL 5.25000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -10514000 | NC      | $-62737.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-3594.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                   | SES S A COMMON STOCK                                     | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |        22273 | NS      | $265065.43     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS           | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9705300 | PA      | $1232143.09    | 0.05%             | 2049-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                  | ACE SECURITIES CORP. ACE 2006 NC3 A2D                    | CUSIP: 00442EAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4743957 | PA      | $1191558.22    | 0.05%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-1745                               | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 1745 A 144A     | CUSIP: 94990DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400000 | PA      | $1291633.14    | 0.05%             | 2036-06-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                               | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/30 5.15    | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |      2000000 | PA      | $2029549.06    | 0.08%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5411                                                       | FREDDIE MAC FHR 5411 IB                                  | CUSIP: 3137HCRW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18172471 | PA      | $2818933.63    | 0.11%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       854000 | PA      | $854000.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 4 M1             | CUSIP: 1266715K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47197 | PA      | $50313.98      | 0.00%             | 2034-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM2003 FN 10/47 FIXED VAR                      | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       472113 | PA      | $454157.82     | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251224                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-228078.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251202                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1071.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 002947 G2 07/30 FIXED 8.5                   | CUSIP: 36202DHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          154 | PA      | $161.53        | 0.00%             | 2030-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                        | FREDDIEMAC STRIP FHS 399 C37                             | CUSIP: 3142G4V81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13683473 | PA      | $2188056.03    | 0.09%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $7005.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOFTBANK GROUP CORP SNR JP SP GST                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $813.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/32 4.15                | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3041352.19    | 0.12%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX5                                          | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX5 A4         | CUSIP: 74924QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11029255 | PA      | $9931183.19    | 0.39%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       217688 | PA      | $217687.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5072                                                       | FREDDIE MAC FHR 5072 EI                                  | CUSIP: 3137F96T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11702325 | PA      | $481660.67     | 0.02%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $4159.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                 | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1950159 | PA      | $530938.51     | 0.02%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-48                                 | FHLMC STRUCTURED PASS THROUGH FSPC T 48 1A               | CUSIP: 31392UZ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          955 | PA      | $923.92        | 0.00%             | 2033-07-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIM1 PIMCO FXVAN PUT USD BRL 5.50000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     10514000 | NC      | $323116.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                       | BCAP LLC TRUST BCAP 2011 RR4 8A1 144A                    | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1307638 | PA      | $496936.63     | 0.02%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5            | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |       200000 | PA      | $174135.23     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $3536.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                           | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1         | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30654 | PA      | $29149.91      | 0.00%             | 2045-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5392                                                       | FREDDIE MAC FHR 5392 GI                                  | CUSIP: 3137HBX25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12368383 | PA      | $1461795.67    | 0.06%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                        | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A          | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3300000 | PA      | $3303465.00    | 0.13%             | 2034-10-15      | Floating      | 5.32%                 | 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        |   2030000000 | PA      | $11710952.43   | 0.46%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $39566.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 11/26 VAR                               | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      1000000 | PA      | $996382.79     | 0.04%             | 2026-11-24      | Floating      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 3A4             | CUSIP: 22942KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288499 | PA      | $103718.14     | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                            | FANNIE MAE FNR 2006 15 FC                                | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4931 | PA      | $4862.13       | 0.00%             | 2036-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $120620.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99700000 | PA      | $98891585.54   | 3.88%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                           | BAMLL COML MTG SECS TR 2024 04/42 1                      | CUSIP: 05554WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3760000 | PA      | $3133834.79    | 0.12%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ1662 FN 12/47 FIXED 3.5                      | CUSIP: 3140H2Z43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134742 | PA      | $125367.66     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS6923 FN 04/46 FIXED 3.5                      | CUSIP: 3138WGVR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       452783 | PA      | $424045.42     | 0.02%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-7916.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2          | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68435 | PA      | $61242.59      | 0.00%             | 2035-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-8694.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A                  | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A      | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24400 | PA      | $23558.24      | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244          | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      2400000 | PA      | $2376950.47    | 0.09%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                                | FREMONT HOME LOAN TRUST FHLT 2006 D 2A2                  | CUSIP: 35729VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4525839 | PA      | $1583044.20    | 0.06%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20251120                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-66800.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $3148.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                           | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR             | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       300000 | PA      | $300540.00     | 0.01%             | 2030-01-08      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A1           | CUSIP: 576449AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50208 | PA      | $14812.39      | 0.00%             | 2036-11-25      | Floating      | 4.37%                 | 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        |         8391 | PA      | $6171.74       | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $0.03          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG        | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94984 | PA      | $84278.70      | 0.00%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $84712.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOODYEAR TIRE & RUBBER CO/THE                                                 | GOODYEAR TIRE + RUBBER COMPANY GUAR 03/27 4.875          | CUSIP: 382550BG5<br>LEI: 5493002BI0S2ZQUY3437 | Short            | DBT              | CORP              | US        |     -3375000 | PA      | $-3357539.37   | -0.13%            | 2027-03-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $24896.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1        | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1585879 | PA      | $1530939.10    | 0.06%             | 2035-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-30891.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/29 4.85         | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     10000000 | PA      | $9898465.80    | 0.39%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20260316                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-8800.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                            | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A3           | CUSIP: 316599AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1248725 | PA      | $812123.01     | 0.03%             | 2036-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-71667.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20251217                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $176.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BUILDING SOC CCDS COMMON STOCK                | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |         4096 | NS      | $714578.48     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                     | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR         | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6600000 | PA      | $4461765.00    | 0.18%             | 2067-01-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                              | NEW ZEALAND GVT ILB BONDS REGS 09/30 3                   | CUSIP: ACI06Z1N0<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |      5831535 | PA      | $3613136.18    | 0.14%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-5781.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                  | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                 | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |      1600000 | PA      | $1878481.06    | 0.07%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260713                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $566.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A2B        | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31547 | PA      | $26641.23      | 0.00%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/29 4                   | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      3100000 | PA      | $3086696.54    | 0.12%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-2807.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-20                                                | COUNTRYWIDE HOME LOANS CWHL 2004 20 2A1                  | CUSIP: 12669F2H5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7267 | PA      | $6753.42       | 0.00%             | 2034-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                     | CAESARS ENTERTAIN INC SR UNSECURED 144A 10/29 4.625      | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Short            | DBT              | CORP              | US        |     -5275000 | PA      | $-5047438.08   | -0.20%            | 2029-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-2835.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | J P MORGAN TERM REPO                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2354478 | PA      | $2354478.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1151500 | PA      | $1151500.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-8                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M1            | CUSIP: 86358EXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       230939 | PA      | $226974.64     | 0.01%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                       | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                 | CUSIP: 40412BXP3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      6000000 | PA      | $5982264.60    | 0.23%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.87000 03/05/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-19794.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | DEUTSCHE BANK REPO REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2720250 | PA      | $2720250.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S SUBORDINATED REGS 01/28 VAR     | CUSIP: ACI0ZY1X9<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |      2500000 | PA      | $3218513.14    | 0.13%             | 2028-01-18      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                             | CAPITAL ONE FINANCIAL CO SUBORDINATED 01/36 VAR          | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $3839571.70    | 0.15%             | 2036-01-30      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-2                                        | MASTR SEASONED SECURITIZATION MSSTR 2005 2 4A1           | CUSIP: 55265WDM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          147 | PA      | $146.78        | 0.00%             | 2032-10-25      | Floating      | 6.04%                 | 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      | $2607416.82    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750RIN9 PIMCO FXVAN CALL USD BRL 5.80000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -10514000 | NC      | $-32341.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-28992.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BK6093 FN 05/48 FIXED 3.5                      | CUSIP: 3140HKXX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       665799 | PA      | $622297.38     | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASBURY AUTOMOTIVE GROUP INC                                                   | ASBURY AUTOMOTIVE GROUP COMPANY GUAR 144A 11/29 4.625    | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Short            | DBT              | CORP              | US        |     -1125000 | PA      | $-1092727.13   | -0.04%            | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KENNEDY-WILSON INC                                                            | KENNEDY WILSON INC COMPANY GUAR 03/31 5                  | CUSIP: 489399AM7<br>LEI: 5EA4464UK7FM5QNNKL62 | Short            | DBT              | CORP              | US        |     -3225000 | PA      | $-3002402.86   | -0.12%            | 2031-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-5580.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $47670.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1116938 | PA      | $1116938.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20251104                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $47.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LAZARD GROUP LLC                                                              | LAZARD GROUP LLC SR UNSECURED 03/31 6                    | CUSIP: 52107QAL9<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $2009057.95    | 0.08%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                              | T MOBILE USA INC COMPANY GUAR 04/30 3.875                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      2100000 | PA      | $2059841.53    | 0.08%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                         | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5             | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2164503 | PA      | $2204039.24    | 0.09%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                          | LAS VEGAS SANDS CORP LAS VEGAS SANDS CORP                | CUSIP: 517834AL1<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1989405.72    | 0.08%             | 2034-08-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AS5999 FN 10/40 FIXED 3.5                      | CUSIP: 3138WFUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145424 | PA      | $138751.86     | 0.01%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                  | BAYOU RE LTD UNSECURED 144A 04/31 VAR                    | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       500000 | PA      | $535350.00     | 0.02%             | 2031-04-30      | Floating      | 12.30%                | 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      | $-57142.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000      | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |      4800000 | PA      | $3617640.00    | 0.14%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-54CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 54CB 2A5       | CUSIP: 12668APJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       336810 | PA      | $175611.65     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       863625 | PA      | $863625.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                          | GSAMP TRUST GSAMP 2007 NC1 A2A                           | CUSIP: 3622MGAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       922835 | PA      | $458131.08     | 0.02%             | 2046-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| RAD CLO 16 LTD 2022-16A                                                       | RAD CLO LTD RAD 2022 16A A1R 144A                        | CUSIP: 75009LAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1500000 | PA      | $1507649.46    | 0.06%             | 2037-07-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-2                                           | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A4             | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2862590 | PA      | $2409126.45    | 0.09%             | 2037-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       185180 | PA      | $185180.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WEYERHAEUSER COMPANY                                                          | WEYERHAEUSER CO SR UNSECURED 04/30 4                     | CUSIP: 962166BY9<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              | CORP              | US        |      5100000 | PA      | $5031973.91    | 0.20%             | 2030-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                                        | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 2A1           | CUSIP: 25151YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10694 | PA      | $9276.67       | 0.00%             | 2037-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DOP BOUGHT USD 20251126                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-4602.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       218000 | PA      | $218000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20251022                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-10707.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | REPO BANK AMERICA REPO                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       100000 | PA      | $100000.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                                      | SERVICE PROPERTIES TRUST SR UNSECURED 01/28 3.95         | CUSIP: 44106MAX0<br>LEI: 529900IS770AG1K9QG27 | Short            | DBT              | CORP              | US        |      -732000 | PA      | $-685649.98    | -0.03%            | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A3              | CUSIP: 31394PPS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11884 | PA      | $12941.60      | 0.00%             | 2043-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 890765 FN 09/46 FIXED VAR                      | CUSIP: 31410LTW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1325475 | PA      | $1246279.94    | 0.05%             | 2046-09-01      | Fixed         | 3.50%                 | 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        |          317 | PA      | $302.77        | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RBC CAPITAL MARKETS REPO REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1079375 | PA      | $1079375.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20251016                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-25.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-87                                                     | FANNIE MAE FNR 2017 87 KI                                | CUSIP: 3136AYZ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       368039 | PA      | $47446.31      | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                      | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A            | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       455000 | PA      | $612847.15     | 0.02%             | 2049-12-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       845750 | PA      | $845750.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251128                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-2034173.62   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                   | PALM RE LTD UNSECURED 144A 06/32 VAR                     | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $423420.00     | 0.02%             | 2032-06-07      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | THE BANK OF NOVA SCOTIA REPO REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       676688 | PA      | $676687.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-3186.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $1189.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CITIGROUP REPO REPO                     5807             | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       730625 | PA      | $730625.00     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $63076.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                     | CAESARS ENTERTAIN INC CAESARS ENTERTAIN INC              | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Short            | DBT              | CORP              | US        |     -1100000 | PA      | $-1122674.30   | -0.04%            | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-60                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 60 1A3              | CUSIP: 31394XVF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11194 | PA      | $11708.89      | 0.00%             | 2044-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MI WINDOWS AND DOORS LLC                                                      | MI WINDOWS AND DOORS LLC 2024 TERM LOAN B2               | CUSIP: 55336CAK8<br>LEI: 2549001JQBGDT0WEQ156 | Long             | LON              | CORP              | US        |       792000 | PA      | $795904.56     | 0.03%             | 2031-03-28      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY JR SUBORDINA 12/99 VAR             | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |       400000 | NS      | $396788.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A5         | CUSIP: 161630AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3905 | PA      | $3892.77       | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251103                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $5124.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1600000 | NC      | $-987.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UABYA8 PIMCO SWAPTION 2.55 CALL EUR 2025100           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -1500000 | NC      | $-81.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                                         | HALEON US CAPITAL LLC COMPANY GUAR 03/27 3.375           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $2970207.90    | 0.12%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -4500000 | NC      | $-15020.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FINANCE PLC                                              | VIRGIN MEDIA SECURED FIN SR SECURED REGS 05/29 5.25      | CUSIP: ACI1BWMH9<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      3700000 | PA      | $4874497.68    | 0.19%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317UADXA5 PIMCO SWAPTION 3.385 CALL USD 202510           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -2100000 | NC      | $-443.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20251020                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $1248.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | GENERAL MOTORS COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $36217.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20251002                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-18311.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      2092500 | PA      | $2092500.00    | 0.08%             |  |  |  | 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      | $-291628.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MORGAN STANLEY REPO                          9W08        | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |      1276969 | PA      | $1276968.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD INR BOUGHT USD 20251017                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $429.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20251015                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-33805.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2980                                                              | FREDDIE MAC FHR 2980 QA                                  | CUSIP: 31395UEG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31738 | PA      | $33201.56      | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer