# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000533
**Filing Date:** 2025-8
**Character Count:** 503691
**Document Hash:** 80932718a684218cdeb4fd29dafb1619
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000533.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000533

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277444

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

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

## Series and Classes Contracts Data

### PIMCO Income Portfolio (Series ID: S000052997)

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Income Portfolio

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2065685761.45

**Total Liabilities:** $1113374724.05

**Net Assets:** $952311037.40

**Delayed Delivery Securities:** $104006.39

**Cash Not Reported:** $18813115.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 56206.211500 | **1-Year:** 98780.643500 | **5-Year:** 243305.482600 | **10-Year:** 27407.869900 | **30-Year:** -24542.182000

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

- **3-Month:** 17856.661700 | **1-Year:** 19024.280100 | **5-Year:** 45860.791500 | **10-Year:** 6039.126100 | **30-Year:** 50.472300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000166584 | 0.05%                | 0.16%                | 1.82%                |
| Class ID C000166585 | 0.04%                | 0.15%                | 1.81%                |
| Class ID C000166586 | 0.06%                | 0.17%                | 1.83%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-983240.21              | $1959043.02                                |
| Month 2  | $-1568595.85             | $-712015.15                                |
| Month 3  | $1088810.27              | $11859416.68                               |

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $32696.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9JTA9 PIMCO SWAPTION 3.772 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-5714.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85500 11/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3703.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                           | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A               | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4614644.56   | 0.48%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.36000 10/07/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-9812.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                        | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A             | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3710389 | PA      | $3722455.49   | 0.39%             | 2030-05-20      | Fixed         | 4.94%                 | 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        |   33200000 | PA      | $1725227.93   | 0.18%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12509.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.45000 10/20/23-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $35321.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT SR UNSECURED 05/29 8.5            | CUSIP: 929FKUII9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   10100000 | PA      | $537292.33    | 0.06%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.05750 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4494.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-TC1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 TC1 M3 144A      | CUSIP: 86364GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4114000 | PA      | $4145047.12   | 0.44%             | 2031-04-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3             | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5419877.74   | 0.57%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1          | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82408 | PA      | $74419.02     | 0.01%             | 2035-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $545560.73    | 0.06%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A B 144A       | CUSIP: ACI2TS586<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4200000 | PA      | $4959209.08   | 0.52%             | 2034-10-15      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250711                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7753.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.42100 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $7920.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89000 01/08/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4768.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | MEXICO LA SP MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1468.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250708                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-416.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/42 0.75                                | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     141955 | PA      | $110327.81    | 0.01%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                              | CARVANA CO SR SECURED 144A 06/30 9                        | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    1020904 | PA      | $1074254.82   | 0.11%             | 2030-06-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) SEP25 XCBT 20250930                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         75 | NC      | $61718.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-210.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                    | PRP ADVISORS, LLC PRPM 2024 NQM2 A1 144A                  | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2588990 | PA      | $2637226.95   | 0.28%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                   | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      66000 | PA      | $66777.02     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                     | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   25000000 | PA      | $159494.46    | 0.02%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                           | ARGENT SECURITIES INC. ARSI 2006 M1 A2D                   | CUSIP: 04012MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13470916 | PA      | $3627865.75   | 0.38%             | 2036-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1901.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-16.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                      | THAMES WATER UTIL FIN SR SECURED REGS 04/29 4             | CUSIP: ACI2C9P27<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $77216.56     | 0.01%             | 2029-04-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6826.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 12/16/19-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12819.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.25000 06/15/22-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-308179.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                    | THAMES SSNM 144A UNFUNDED COMM                            | CUSIP: 955RVLII8<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      81038 | PA      | $104006.39    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A        | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2664162 | PA      | $2685813.05   | 0.28%             | 2055-02-16      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 02/28 3.25                         | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1649251.55   | 0.17%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-52767.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A       | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6624870 | PA      | $6610834.14   | 0.69%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3316.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                    | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385777 | PA      | $328155.56    | 0.03%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-10679.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/34 1.75                                | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4591400 | PA      | $4553718.66   | 0.48%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -20 | NC      | $-10625.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/54 4.25                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1461624.99   | 0.15%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT SEP25 XCBT 20250919                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         47 | NC      | $167731.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $322851.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                                  | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2           | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1269138 | PA      | $1263204.11   | 0.13%             | 2036-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250808                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $18747.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                             | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3081000 | PA      | $2865246.20   | 0.30%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $4057.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q52560 FG 12/47 FIXED 3                 | CUSIP: 3132XUZ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55241 | PA      | $48822.41     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND FUTURE  SEP25 XEUR 20250908                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -74 | NC      | $89252.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QI9919 FR 07/54 FIXED 5                 | CUSIP: 3133WHAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     887061 | PA      | $870981.17    | 0.09%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A             | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     769212 | PA      | $724093.09    | 0.08%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A        | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5864623 | PA      | $5873624.04   | 0.62%             | 2053-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM41 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3731.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                  | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $202991.00    | 0.02%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | ALTICE FRANCE SA SR SECURED 144A 02/27 8.125              | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    1100000 | PA      | $990830.50    | 0.10%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.46000 04/01/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5309.07     | -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        |   19115888 | PA      | $19141640.54  | 2.01%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.2* 9/11/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $694397.88    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                       | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A           | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1373978 | PA      | $1404717.57   | 0.15%             | 2041-02-20      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-111601.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.42000 07/31/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $16063.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FM7475 FN 10/50 FIXED VAR                       | CUSIP: 3140XBJV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1266899 | PA      | $1230474.10   | 0.13%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/3.00 9/19/23-3Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $129853.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                              | EXELA INTERMED/EXELA FIN SR SECURED 144A 04/26 11.5       | CUSIP: 30162RAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      28650 | PA      | $1432.50      | 0.00%             | 2026-04-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $885.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43091 09/03/24-7Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2914.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250903                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $160575.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750QSL4 OTC EPUT FN 4.5 JUL25 92.46875 PUT              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-0.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                                    | GSAMP TRUST GSAMP 2005 HE5 M4                             | CUSIP: 362341ZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600252 | PA      | $1562512.19   | 0.16%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                      | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 3A1A        | CUSIP: 93935LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1720440 | PA      | $1528376.85   | 0.16%             | 2046-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2831.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5298.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                             | LETRA TESOURO NACIONAL BILLS 07/25 0.00000                | CUSIP: ACI23CXV7<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    2200000 | PA      | $404702.13    | 0.04%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 01/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1407.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.05205 08/02/23-01/02/26 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-53930.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.08000 04/17/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13495.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-80947.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $94912.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-6098.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.072 03/27/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-38158.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-B                                   | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 B A3             | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3537271.85   | 0.37%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS NZD 4.75000 06/19/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $113599.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $233960.75    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9LGA8 PIMCO SWAPTION 4.097 PUT USD 2025071            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-97.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9FOA2 PIMCO SWAPTION 4.077 PUT USD 2025063            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-0.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.25 06/20/18-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $53136.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOUTH AFRICA EM SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $779.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.55000 08/03/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $13856.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-78422.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51400 09/04/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19014.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $12563.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 08/31 11.95       | CUSIP: P17625AD9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     300000 | PA      | $55716.53     | 0.01%             | 2031-08-05      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4729 FN 09/42 FIXED 4                         | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11800 | PA      | $11392.80     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1195.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/31 0.125                               | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     123220 | PA      | $114208.51    | 0.01%             | 2031-01-15      | Fixed         | 0.12%                 | 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      | $-4892.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9N3A8 PIMCO SWAPTION 3.905 PUT USD 2025072            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1108.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                   | GSAMP TRUST GSAMP 2005 WMC2 M1                            | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1933761 | PA      | $1876369.66   | 0.20%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                 | REACH FINANCIAL LLC REACH 2024 2A A 144A                  | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1503226 | PA      | $1507167.27   | 0.16%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM39 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $26.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20270610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-164.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                | SOFTBANK VISION FUND II FIXED TERM LOAN                   | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1570120 | PA      | $1570119.87   | 0.16%             | 2025-12-21      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95             | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1368000 | PA      | $419907.46    | 0.04%             | 2031-08-12      | Fixed         | 6.95%                 | 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      | $-2743.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1849.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2661.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                    | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3         | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5782157 | PA      | $5769259.55   | 0.61%             | 2034-12-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260521                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $10.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                    | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 1A1            | CUSIP: 65536QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     380200 | PA      | $356685.62    | 0.04%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/21/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $128364.78    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.70000 06/06/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-154608.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.41000 11/05/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2114.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $8127590.35   | 0.85%             | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 09/07/23-8Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $116437.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 A 144A        | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2284883 | PA      | $2288955.73   | 0.24%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-309.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-72040.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A        | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4600000 | PA      | $4609920.13   | 0.48%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DB8407 FN 09/54 FIXED 6                         | CUSIP: 3140AJKV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     286092 | PA      | $291188.89    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-35362.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                          | EPR PROPERTIES COMPANY GUAR 12/26 4.75                    | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       5000 | PA      | $4994.55      | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.13000 05/03/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15100.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 09/18/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $52835.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BN5298 FN 02/34 FIXED 3                         | CUSIP: 3140JM3G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109463 | PA      | $106204.02    | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC        | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A     | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2767956.88   | 0.29%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-32152.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/22/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4457.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 12/15/21-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1467222.05  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1779.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                    | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A          | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5007592 | PA      | $5041861.71   | 0.53%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $30113.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO/THE SR UNSECURED 05/27 6.259                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     290000 | PA      | $298475.81    | 0.03%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/27 0.5                                 | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $278671.88    | 0.03%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9MNA8 PIMCO SWAPTION 3.955 PUT USD 2025072            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-712.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-7312.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.58600 08/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9590.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5167 FN 10/53 FIXED 6.5                       | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1330950 | PA      | $1376146.58   | 0.14%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | ALTICE FRANCE SA 2023 EUR TERM LOAN B14                   | CUSIP: F6628DAP9<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |      98990 | PA      | $105215.20    | 0.01%             | 2028-08-15      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                   | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   52000000 | PA      | $1266771.73   | 0.13%             | 2028-05-17      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 7/18/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $112226.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.92750 03/25/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-40593.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2004-WMC1                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2004 WMC1 M1          | CUSIP: 83611MBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4285226 | PA      | $3935607.55   | 0.41%             | 2035-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43500 11/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21748.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL4                          | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL4 A1 144A     | CUSIP: 74143RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6261745 | PA      | $6276242.05   | 0.66%             | 2054-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1                             | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL1 A1 144A    | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4212514 | PA      | $3875517.71   | 0.41%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)SEP25 XCBT 20250919                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       2080 | NC      | $3853825.24   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A                        | CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 4A A1RR 144A     | CUSIP: 14311NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1931529 | PA      | $1933551.10   | 0.20%             | 2032-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR              | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      81568 | PA      | $58107.00     | 0.01%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                  | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1          | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289224 | PA      | $288691.27    | 0.03%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1072.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BOBL OPTION  AUG25C 118.5 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -4 | NC      | $-518.30      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250930                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-10808.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.500 06/16/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $295627.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85000 08/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4340.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1           | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1039512 | PA      | $735979.01    | 0.08%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-46606.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 8/12/23-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $28394.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/43 4.375                               | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1525593.74   | 0.16%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64750 01/08/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $369.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPN 10Y BOND(OSE) SEP25 XOSE 20250912                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -1 | NC      | $-3370.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                     | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1          | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2280691 | PA      | $1726194.66   | 0.18%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4649.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4894 FN 01/53 FIXED 6                         | CUSIP: 31418ENL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6315282 | PA      | $6439994.90   | 0.68%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8900000 | PA      | $8013913.78   | 0.84%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.30000 09/25/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-7890.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55500 03/05/24-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13279.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2             | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1073931.94   | 0.11%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                      | THAMES WATER UTIL FIN SR SECURED REGS 01/30 0.875         | CUSIP: ACI235LV5<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $149972.99    | 0.02%             | 2030-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5428.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.73800 01/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $631.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.42000 05/24/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7007.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.56500 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7551.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625          | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     800000 | PA      | $560000.00    | 0.06%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                        | DEUTSCHE BANK NY 01/29 VAR                                | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $420284.70    | 0.04%             | 2029-01-18      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2135.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 06/16/21-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $971179.11    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A     | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1228877 | PA      | $673564.33    | 0.07%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-113.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7         | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    8800000 | PA      | $2710648.41   | 0.28%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL2                                  | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 M3          | CUSIP: 76110W5K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1781286.60   | 0.19%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 03/17/20-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $76331.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-210.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-331.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.13500 01/02/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $17163.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15            | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2072000 | PA      | $2052446.60   | 0.22%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41000000 | PA      | $38120401.08  | 4.00%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-BC1                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC1 1A            | CUSIP: 12668TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     814718 | PA      | $774047.26    | 0.08%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8397 FR 01/54 FIXED 6.5               | CUSIP: 3132DWKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21082607 | PA      | $21790019.15  | 2.29%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $668987.02    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 7/18/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-39590.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42400000 | PA      | $41531204.50  | 4.36%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4678.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250701                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2287.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5139 FN 09/53 FIXED 6                         | CUSIP: 31418EV98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1448551 | PA      | $1475047.74   | 0.15%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                      | BANCO SANTANDER SA BANCO SANTANDER SA                     | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2500000 | PA      | $2667383.03   | 0.28%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 01/08/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10049.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08778 FG 09/47 FIXED 3                 | CUSIP: 3128MJ2L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13237 | PA      | $11732.27     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -3 | NC      | $-494.74      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4                               | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A        | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3810900 | PA      | $3828466.38   | 0.40%             | 2067-09-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25              | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3895000 | PA      | $3497708.75   | 0.37%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOUTH AFRICA EM SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1948.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.41000 09/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13981.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75          | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     175366 | PA      | $172311.12    | 0.02%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $56535.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-7Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17281.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA ROMANIA                                           | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     350000 | PA      | $406288.14    | 0.04%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-29Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $45179.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41000 08/07/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $3369.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.5000 03/15/22-20Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $324426.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC2                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC2 M2            | CUSIP: 22237JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     964715 | PA      | $912434.92    | 0.10%             | 2045-01-25      | Floating      | 4.87%                 | 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      | $-23546.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20250710                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $42478.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-9297.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       9000 | PA      | $9129.37      | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                     | INTESA SANPAOLO SPA 144A 11/33 7.2                        | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    1300000 | PA      | $1460490.94   | 0.15%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   53900000 | PA      | $52829251.71  | 5.55%             | 2054-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6273.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/21/23-3Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4234.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.16509 04/01/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-56627.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.00000 06/15/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $125492.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                     | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                  | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |    1000000 | PA      | $806896.19    | 0.08%             | 2030-11-30      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  105150000 | PA      | $108421156.56 | 11.39%            | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-4A                                          | CHASE AUTO OWNER TRUST CHAOT 2024 4A A2 144A              | CUSIP: 16144YAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1731979 | PA      | $1736138.72   | 0.18%             | 2027-09-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/32 0.125                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     347142 | PA      | $314770.81    | 0.03%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.00000 06/15/22-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $294613.48    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4              | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     500000 | PA      | $133611.86    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/28 0.75                                | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     908551 | PA      | $897651.28    | 0.09%             | 2028-07-15      | Fixed         | 0.75%                 | 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        |    1378516 | PA      | $1407855.62   | 0.15%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                       | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A            | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1408984 | PA      | $1412710.43   | 0.15%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/48 3                                   | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      10000 | PA      | $7398.83      | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ELA8 PIMCO SWAPTION 2.1 CALL EUR 20250630            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-0.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $112435.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9O6A3 PIMCO SWAPTION 3.875 PUT USD 2025072            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1530.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP BRC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-81.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AT&T INC SNR S* ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3503.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.77000 04/16/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $13478.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85400 12/29/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6060.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.08500 04/22/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13661.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-62811.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95             | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6250000 | PA      | $1918436.84   | 0.20%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6239.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2124.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5               | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     195072 | PA      | $201617.16    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.3* 7/20/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $143833.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                    | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25              | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     200000 | PA      | $203201.00    | 0.02%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260518                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1071.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.12 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $51790.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                     | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A3              | CUSIP: 98164LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3519838.70   | 0.37%             | 2030-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $7108.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM43 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-7344.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A       | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5811017 | PA      | $5312626.02   | 0.56%             | 2037-11-30      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 08/30/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15849.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  135800000 | PA      | $137878082.22 | 14.48%            | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.09012 07/31/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-116725.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | ALTICE FRANCE SA SR SECURED 144A 01/29 5.125              | CUSIP: 02156LAE1<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $165375.00    | 0.02%             | 2029-01-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9GMA2 PIMCO SWAPTION 4.1 PUT USD 20250703             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-0.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $36.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25000 11/22/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18259.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9GBA4 PIMCO SWAPTION 2.38 CALL EUR 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BX4399 FN 11/52 FIXED 6                         | CUSIP: 3140N83H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     494513 | PA      | $505210.74    | 0.05%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.67900 08/13/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2916.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST XIII LLC 2021-2A                                 | OSCAR US FUNDING TRUST OSCAR 2021 2A A4 144A              | CUSIP: 68785BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |    2300002 | PA      | $2292771.77   | 0.24%             | 2028-09-11      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.17625 04/27/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-12786.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.183133 04/04/24-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-55991.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-47738.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.76000 03/04/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6804.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19549.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/27 0.375                               | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     224412 | PA      | $221367.65    | 0.02%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN           | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     118503 | PA      | $112478.65    | 0.01%             | 2028-06-20      | Floating      | 9.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.48500 10/30/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17954.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 03/06/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10675.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $17831.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 09/34 6.25                      | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    2000000 | PA      | $2379719.46   | 0.25%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87400 03/05/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8988.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                                 | REACH FINANCIAL LLC REACH 2024 1A A 144A                  | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     224697 | PA      | $225245.61    | 0.02%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.27000 08/21/23-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $26396.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-160555.13   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 03/19/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $261811.98    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FM3093 FN 11/48 FIXED VAR                       | CUSIP: 3140X6NK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     548421 | PA      | $519377.71    | 0.05%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC                    | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A         | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2345882 | PA      | $2354634.65   | 0.25%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250723                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8495.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43000 02/27/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6152.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-79808.61    | -0.01%            |  |  |  | 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      | $701354.15    | 0.07%             |  |  |  | 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        |     300000 | PA      | $303975.00    | 0.03%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  706400000 | PA      | $373707.02    | 0.04%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.9* 9/08/23-3Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35100.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 05/22/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $282297.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.00000 09/18/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $203177.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875         | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      24299 | PA      | $21504.62     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    8905722 | PA      | $86715011.87  | 9.11%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1161.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS6                                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS6 M6           | CUSIP: 76112BTX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2537940.86   | 0.27%             | 2035-06-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.32826 09/03/24-7Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5076.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-736.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS USD SOFR/1.81700 04/05/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-259360.80   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250808                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2126.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-49.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.56900 08/14/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7654.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 7/12/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $43239.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                 | BPCE SA BPCE SA                                           | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1250000 | PA      | $1324204.89   | 0.14%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8445 FR 07/54 FIXED 5                 | CUSIP: 3132DWL27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49724 | PA      | $48837.97     | 0.01%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/49 1                                   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2167007 | PA      | $1573823.70   | 0.17%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9EKA9 PIMCO SWAPTION 2.36 PUT EUR 20250630            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-0.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 11/31 2.75                         | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   44204404 | PA      | $2087827.41   | 0.22%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $46029.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A      | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $959204.50    | 0.10%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/20/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-118790.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                        | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A            | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3615728 | PA      | $3613138.00   | 0.38%             | 2064-10-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260504                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-94.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AT&T INC SNR S* ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3275.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4240.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q53731 FG 01/48 FIXED 3                 | CUSIP: 3132XWED9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     510993 | PA      | $454565.38    | 0.05%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-57917.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-A                                 | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 A A4            | CUSIP: 456606KU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3727837 | PA      | $3391054.16   | 0.36%             | 2036-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-22214.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $257625.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.22000 10/20/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17074.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US LONG BOND(CBT) SEP25 XCBT 20250919                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -188 | NC      | $-761088.86   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.10457 07/28/23-01/02/26 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-52195.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 05/30 5.15                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1425986.13   | 0.15%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL1                                     | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL1 A3 144A     | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2997185 | PA      | $2462387.90   | 0.26%             | 2037-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                             | INVESCO EURO CLO INVSC 3A AR                              | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3600000 | PA      | $4232671.17   | 0.44%             | 2038-10-30      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST MORTGAGE 11/32 5.95               | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1540952.37   | 0.16%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $122.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q40843 FG 06/46 FIXED 3                 | CUSIP: 3132WD5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21686 | PA      | $19312.08     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 3.00000 03/21/17-10Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-7630.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.99400 07/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13926.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.2914 05/08/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $16428.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A             | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737418 | PA      | $715882.60    | 0.08%             | 2047-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A      | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4336972 | PA      | $4257689.80   | 0.45%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY37 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $54110.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-461813.78   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-12537.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A3                                  | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A3 1A1           | CUSIP: 12567AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1153417 | PA      | $1012141.85   | 0.11%             | 2037-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $57738.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                      | THAMES WATER UTIL FIN SR SECURED REGS 02/43 5.5           | CUSIP: 983YNTII1<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $91302.85     | 0.01%             | 2043-02-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9G7A9 PIMCO SWAPTION 3.715 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2481.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                  | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                    | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |     914246 | PA      | $870435.53    | 0.09%             | 2027-05-13      | Floating      | 11.30%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250721                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8965.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.10 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $49736.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.00000 09/21/22-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-48841.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR              | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     323684 | PA      | $257159.04    | 0.03%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                    | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181512 | PA      | $165810.71    | 0.02%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.01000 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4150.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DA3452 FN 11/53 FIXED 6                         | CUSIP: 3140A3ZS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     727098 | PA      | $740900.51    | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A        | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2891519 | PA      | $2895478.66   | 0.30%             | 2032-10-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK0261 FN 07/48 FIXED 4                         | CUSIP: 3140HDJF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36609 | PA      | $34656.37     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3410.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9IFA6 PIMCO SWAPTION 3.68 CALL USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-1122.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                                     | MFRA TRUST MFRA 2024 RPL1 A1 144A                         | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3341904 | PA      | $3205157.10   | 0.34%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1543.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4                 | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2816 | PA      | $2718.41      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.53200 08/20/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9161.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/29 0.875                               | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2397113 | PA      | $2360438.28   | 0.25%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3165.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250709                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $15488.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01300 01/15/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23758.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-162578.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9              | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1366000 | PA      | $393022.40    | 0.04%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2446.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED 144A 06/47 5.25           | CUSIP: X5424XBP2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     200000 | PA      | $0.00         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.15000 04/22/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15676.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250724                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2974.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/35 9.75     | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     100000 | PA      | $14800.00     | 0.00%             | 2035-05-17      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $211.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.7* 9/16/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1055573.46  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.40750 09/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5635.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.75000 12/20/23-2Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $39293.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-562981.82   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41500 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $5632.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9106 G2 08/53 FIXED 5.5                    | CUSIP: 36179YDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1221980 | PA      | $1229207.03   | 0.13%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.10 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6967.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.66500 01/24/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $249.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.46000 08/01/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $11172.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9O3A6 PIMCO SWAPTION 3.545 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-3357.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.81000 01/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2346.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A   | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7003800 | PA      | $6241204.26   | 0.66%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP BPS                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2277.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/27 0.625                               | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4140000 | PA      | $3849067.96   | 0.40%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750QSK6 OTC ECAL FN 4.5 JUL25 96.46875 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-111.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46382 09/03/24-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23175.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A       | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $882000.00    | 0.09%             | 2036-05-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                           | AMSURG EQUITY EQTYAS910                                   | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      22386 | NS      | $1010653.29   | 0.11%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 08/34 4                            | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   40294015 | PA      | $1997919.17   | 0.21%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.71000 03/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1836.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                              | CARVANA CO SR SECURED 144A 06/31 9                        | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    1197390 | PA      | $1419675.46   | 0.15%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/53 1.5                                 | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1294896 | PA      | $1026590.31   | 0.11%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                 | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                      | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    4000000 | PA      | $4001702.48   | 0.42%             | 2033-10-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-121.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                         | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    1970000 | PA      | $1873468.80   | 0.20%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-21.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                     | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     726000 | PA      | $487121.82    | 0.05%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-45574.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88000 01/13/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13523.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9LEA0 PIMCO SWAPTION 2.72 PUT EUR 20250716            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-660.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815         | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2963000 | PA      | $2861245.39   | 0.30%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.25000 09/17/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-73150.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 2A ARV 144A      | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4321968.20   | 0.45%             | 2038-04-25      | Fixed         | 3.93%                 | 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        |     700000 | PA      | $655020.16    | 0.07%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/30 0.125                               | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1876590 | PA      | $1763414.87   | 0.19%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3                    | BRIDGECREST LENDING AUTO SECUR BLAST 2024 3 A2            | CUSIP: 10805NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     613564 | PA      | $613909.43    | 0.06%             | 2027-02-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20250711                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1528.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.65000 07/10/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2452.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A             | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2023588 | PA      | $1944458.82   | 0.20%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                          | EPR PROPERTIES COMPANY GUAR 04/28 4.95                    | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9984.43      | 0.00%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $5475.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-34947.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.11 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1206.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5           | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   21100000 | PA      | $1037518.72   | 0.11%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.60000 01/16/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $213136.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.25000 09/17/25-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2461199.46   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                     | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A          | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651799 | PA      | $623267.18    | 0.07%             | 2037-12-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-50122.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A     | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15379 | PA      | $13865.21     | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46300 10/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10992.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $10673.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $5778.54      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.28000 09/16/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31135.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/44 1.375                               | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     137631 | PA      | $115662.13    | 0.01%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-52662.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15             | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    9710000 | PA      | $2835320.00   | 0.30%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $318.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q52848 FG 12/47 FIXED 3                 | CUSIP: 3132XVEW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14724 | PA      | $13008.59     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20250709                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-907.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                             | ICG US CLO LTD ICG 2021 3A AR 144A                        | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4102885.46   | 0.43%             | 2034-10-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $383.48       | 0.00%             |  |  |  | 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        |    8479295 | PA      | $2990495.43   | 0.31%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A      | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2070569 | PA      | $2085215.66   | 0.22%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $715.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.50000 06/17/20-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $195286.31    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.06250 01/08/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4358.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.71500 08/07/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1171.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25000 03/20/24-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-32438.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                  | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A        | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     531422 | PA      | $534231.75    | 0.06%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $177.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88500 07/12/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7551.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/54 4.5                                 | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9000000 | PA      | $8579531.25   | 0.90%             | 2054-11-15      | 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      | $-230421.81   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                    | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2999999 | PA      | $2733340.76   | 0.29%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-24901.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.36832 09/03/24-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27392.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750R6K8 PIMCO FXVAN PUT EUR USD 1.15000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   13300000 | NC      | $58609.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250710                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7678.74      | 0.00%             |  |  |  | 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        |    3905118 | PA      | $3863648.28   | 0.41%             | 2037-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $7752.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                          | LENDMARK FUNDING TRUST LFT 2024 1A A 144A                 | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1424630.20   | 0.15%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.73500 01/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1216.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4 JUMBOS                                | CUSIP: 21H040673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2800000 | PA      | $2603811.81   | 0.27%             | 2054-07-15      | Fixed         | 4.00%                 | 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        |     520000 | PA      | $472173.30    | 0.05%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                   | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    2500000 | PA      | $60297.86     | 0.01%             | 2028-09-06      | Fixed         | 49.96%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9EPA4 PIMCO SWAPTION 3.701 CALL USD 202506            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-803.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-77780.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.38000 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $21954.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)               | UNITI GROUP INC REIT USD.0001                             | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       1155 | NS      | $4989.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CIFC FUNDING 2021-III LTD                                               | CIFC FUNDING LTD CIFC 2021 3A A 144A                      | CUSIP: 12564DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2505409.48   | 0.26%             | 2036-07-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A       | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2847764 | PA      | $2863778.93   | 0.30%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20250701                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-568.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  SEP25 XCME 20251216                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -9 | NC      | $41514.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.34000 02/23/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5324.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9EIA2 PIMCO SWAPTION 4.127 PUT USD 2025063            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-0.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.08000 01/08/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $15683.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1270.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7         | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3600000 | PA      | $1084217.36   | 0.11%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-22389.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $267.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07800 04/29/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13469.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2005-BC4                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC4 M8            | CUSIP: 1266737G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1594000 | PA      | $1548137.11   | 0.16%             | 2035-08-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $85172.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250825                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-11276.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-6410.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                      | THAMES WATER UTIL FIN SR SECURED REGS 12/29 1.604         | CUSIP: ACI2J6N85<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $130729.36    | 0.01%             | 2029-12-23      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 01/34 VAR                  | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4424000 | PA      | $4658931.65   | 0.49%             | 2034-01-12      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                     | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   95000000 | PA      | $664139.09    | 0.07%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A          | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34117 | PA      | $31208.27     | 0.00%             | 2036-03-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7                          | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL7 A1 144A     | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3554343 | PA      | $3547718.75   | 0.37%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 07/16/23-8Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $102668.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P D 144A       | CUSIP: 61772WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2645000 | PA      | $2391043.50   | 0.25%             | 2038-12-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT SR UNSECURED 11/34 7.75           | CUSIP: ACI087B66<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   38620000 | PA      | $1883158.50   | 0.20%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-44464.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $437.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                      | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                 | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     133771 | NS      | $156512.07    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RA3831 FR 07/50 FIXED 4                 | CUSIP: 3133KKHG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13244 | PA      | $12425.71     | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-127.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08783 FG 10/47 FIXED 3                 | CUSIP: 3128MJ2R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8592 | PA      | $7601.88      | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $17218.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                      | THAMES WATER UTIL FIN SR SECURED REGS 07/36 4.375         | CUSIP: B839Q3II7<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $90201.96     | 0.01%             | 2036-07-03      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-2A                               | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 2A A2 144A       | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     856660 | PA      | $863317.49    | 0.09%             | 2028-06-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                  | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/26 5.789      | CUSIP: 126650AQ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      25357 | PA      | $25378.98     | 0.00%             | 2026-01-10      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08799 FG 02/48 FIXED 3                 | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     707110 | PA      | $624324.50    | 0.07%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.67000 01/08/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-334.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1164.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO260626                                | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2508911000 | PA      | $1317605.85   | 0.14%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.13796 07/28/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-28029.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST MORTGAGE 02/32 2.75               | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $86255.67     | 0.01%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.45000 10/11/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11682.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                  | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A       | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3770088 | PA      | $3786594.78   | 0.40%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 08/22/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2044.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-35.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.83000 12/09/42-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1458469.29   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 09/27 0.375                               | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     340000 | PA      | $315761.72    | 0.03%             | 2027-09-30      | Fixed         | 0.38%                 | 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        |      30314 | PA      | $29986.84     | 0.00%             | 2033-03-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10000 01/21/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10174.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 04/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3951.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 2A4            | CUSIP: 12666CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     935887 | PA      | $900781.88    | 0.09%             | 2037-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.95000 12/19/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9016.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.59000 08/19/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5250.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-122622.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10500 04/24/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25006.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.53500 11/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-27274.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR -0.32900 03/09/21-5Y* LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1586.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 09/31 5.125                     | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1000000 | PA      | $1164286.42   | 0.12%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-94820.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.20000 05/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $30214.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A                              | MERRION SQUARE RESIDENTIAL MERRI 2024 1A A 144A           | CUSIP: ACI2PXBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    2612386 | PA      | $3081134.41   | 0.32%             | 2081-03-24      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     260000 | PA      | $254221.48    | 0.03%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                       | AG TRUST AG 2024 NLP A 144A                               | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1710596 | PA      | $1716100.13   | 0.18%             | 2041-07-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                 | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/27 4.3       | CUSIP: 44891ADF1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3869446.11   | 0.41%             | 2027-09-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/48 1                                   | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     910532 | PA      | $670305.17    | 0.07%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $9805.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.82700 05/06/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $14807.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11655.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.20000 10/18/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12311.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250807                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $733.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) SEP25 XCBT 20250930                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1382 | NC      | $1689924.16   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G61809 FG 12/48 FIXED 3                 | CUSIP: 31335CAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28383 | PA      | $25068.78     | 0.00%             | 2048-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9L4A1 PIMCO SWAPTION 3.6525 CALL USD 20250            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2611.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $139.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1            | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4755529 | PA      | $4480481.29   | 0.47%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | US RENAL CARE INC SR SECURED 144A 06/28 10.625            | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |      13300 | PA      | $11388.13     | 0.00%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM38 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1022.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.16500 09/27/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $30229.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750R693 PIMCO FXVAN PUT EUR USD 1.15000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    4800000 | NC      | $20535.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1104.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 07/12/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $769.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.68400 01/03/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-377.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9MPA6 PIMCO SWAPTION 3.933 PUT USD 2025072            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-419.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | LONG GILT FUTURE  SEP25 IFLL 20250926                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        467 | NC      | $1377264.16   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.00000 06/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $127315.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $22337.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9L6A9 PIMCO SWAPTION 3.664 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |    -600000 | NC      | $-2859.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 2A4            | CUSIP: 12668HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625668 | PA      | $613334.91    | 0.06%             | 2037-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 03/30 5.25                      | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1600000 | PA      | $1926693.78   | 0.20%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 04/27 4.5                                 | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13300000 | PA      | $13467808.63  | 1.41%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.65000 08/14/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-14318.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 09/05/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6191.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INTELSAT EMERGENCE SA CALL EXP 17FEB27                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |         76 | NC      | $43.13        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.7 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1694.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED REGS 10/26 VAR                  | CUSIP: ACI24F276<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $235444.77    | 0.02%             | 2026-10-13      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9LFA9 PIMCO SWAPTION 2.46 CALL EUR 2025071            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-446.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 03/10/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4053.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.08501 08/01/23-01/02/26 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-53325.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.52738 09/03/24-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10561.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9N1A0 PIMCO SWAPTION 3.914 PUT USD 2025072            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1039.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1         | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014514 | PA      | $271081.65    | 0.03%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                  | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 1A           | CUSIP: 54251YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     379618 | PA      | $268494.42    | 0.03%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                   | SCURALPHA 1503 GMBH USD TERM LOAN B1                      | CUSIP: D7001LAC7<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    1271041 | PA      | $1203599.38   | 0.13%             | 2030-03-29      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 A2SS             | CUSIP: 61744CKY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1002272 | PA      | $950245.17    | 0.10%             | 2034-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.59900 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6081.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4869 FN 01/53 FIXED 5.5                       | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     477980 | PA      | $479624.15    | 0.05%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.95500 10/04/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24687.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3A                                                    | EUROSAIL PLC ESAIL 2007 3A A3C 144A                       | CUSIP: 29880YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     106090 | PA      | $145590.83    | 0.02%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/50 0.25                                | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     748584 | PA      | $435261.60    | 0.05%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8031.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                    | DISH DBS CORP SR SECURED 144A 12/28 5.75                  | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2630000 | PA      | $2281525.00   | 0.24%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A       | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     831667 | PA      | $839711.51    | 0.09%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.42500 03/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6276.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                         | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                 | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2824569 | PA      | $2550151.60   | 0.27%             | 2046-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $98179.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.14 10/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-113906.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260505                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-150.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.95000 09/13/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16286.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                    | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 2A3         | CUSIP: 40431JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2751581 | PA      | $2462719.35   | 0.26%             | 2036-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9              | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     600000 | PA      | $172630.63    | 0.02%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.72500 02/07/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1094.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.25000 03/18/20-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $109065.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9GEA1 PIMCO SWAPTION 4.075 PUT USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-0.66        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                       | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/29 3.875      | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1415256.75   | 0.15%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                        | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D                 | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400000 | PA      | $4267950.72   | 0.45%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG         | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $180000.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2308.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NATWEST GROUP PLC SR UNSECURED 05/30 VAR                  | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $397043.51    | 0.04%             | 2030-05-08      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.6* 7/24/23-9Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-63179.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   62050000 | PA      | $61994599.28  | 6.51%             | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2969.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2006-1                                 | AEGIS ASSET BACKED SECURITIES AABST 2006 1 A2             | CUSIP: 00764SAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3009478 | PA      | $2256699.55   | 0.24%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9MKA1 PIMCO SWAPTION 3.7 CALL USD 20250721            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-4639.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9L3A2 PIMCO SWAPTION 4.0525 PUT USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-86.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-260.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT BONDS 05/33 7.5                   | CUSIP: ACI2BPJ03<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2200000 | PA      | $107411.87    | 0.01%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QF6139 FR 01/53 FIXED 5.5               | CUSIP: 3133BTZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     174617 | PA      | $174744.83    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-149.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1518.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF2            | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4629343 | PA      | $1410590.05   | 0.15%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 7/12/23-9Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-48544.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/11/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-33734.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                              | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7      | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     700000 | PA      | $206381.18    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-190248.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                        | NEW YORK NY NYC 02/45 FIXED 6.291                         | CUSIP: 64966SNH5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |     100000 | PA      | $104873.06    | 0.01%             | 2045-02-01      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AP7539 FN 09/27 FIXED 3                         | CUSIP: 3138MBLV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18880 | PA      | $18618.21     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.61000 03/24/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $711.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $348324.36    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                            | BARCLAYS PLC SR UNSECURED 11/33 VAR                       | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2438000 | PA      | $2767906.53   | 0.29%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $777.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB5583 FN 11/52 FIXED 5.5                       | CUSIP: 3140QRFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219421 | PA      | $220124.49    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -3 | NC      | $-1201.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.45500 11/01/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20266.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                           | SLM STUDENT LOAN TRUST SLMA 2005 B A4                     | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1390155 | PA      | $1355813.29   | 0.14%             | 2039-06-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-81051.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-D                                          | FREMONT HOME LOAN TRUST FHLT 2005 D M1                    | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2148415 | PA      | $1976314.59   | 0.21%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.03683 08/07/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-15121.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KWD BOUGHT USD 20290702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3477.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/49 3                                   | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $368554.69    | 0.04%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.15500 10/02/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22274.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF2                                      | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2           | CUSIP: 57645TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11036393 | PA      | $4417107.87   | 0.46%             | 2037-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/29 0.25                                | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3914957 | PA      | $3760548.34   | 0.39%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY40 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6892.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2251.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP CBK                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1111.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.25622 04/03/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-127783.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $30572.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.711* 04/27/22-20Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $48327.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 7/20/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-19892.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9G6A0 PIMCO SWAPTION 4.065 PUT USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-0.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-76930.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5          | CUSIP: 614878II9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   19300000 | PA      | $1131056.58   | 0.12%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 02/34 3.75                      | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     760000 | PA      | $765763.57    | 0.08%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.43500 11/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11972.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8844.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.15000 01/06/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $24784.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.94000 02/22/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20672.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4697 FN 08/42 FIXED 4                         | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204930 | PA      | $197860.36    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/26 11.75       | CUSIP: P17625AE7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      10000 | PA      | $2021.00      | 0.00%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-3                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1            | CUSIP: 64352VHV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7033607 | PA      | $7132977.79   | 0.75%             | 2034-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                 | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A            | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1418950 | PA      | $1094429.11   | 0.11%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $24272.69     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 7/21/23-28Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-178268.94   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | WINDSTREAMWARRANTS SLDENVWINDSTREAMWARRANTS               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        334 | NC      | $6546.99      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/20/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-578876.88   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64300 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4177.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                  | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A         | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2310782.40   | 0.24%             | 2038-05-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 8/12/23-28Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $199884.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                      | PRP ADVISORS, LLC PRPM 2024 RCF2 A1 144A                  | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2622071 | PA      | $2553438.88   | 0.27%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-2 LLC                                                         | PRP ADVISORS, LLC PRPM 2024 2 A1 144A                     | CUSIP: 74448BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2430692 | PA      | $2436924.23   | 0.26%             | 2029-03-25      | Variable      | 7.03%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                             | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   24700000 | PA      | $4095206.49   | 0.43%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $825113.65    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.21 04/03/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-18744.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS4                                     | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS4 A4           | CUSIP: 74924NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103199 | PA      | $102547.13    | 0.01%             | 2037-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51453 09/03/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1108.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $17932.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 12/26 3                            | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   50410023 | PA      | $2631223.46   | 0.28%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2023-V3                                     | TOWD POINT MORTGAGE FUNDING TPMF 2023 V3 A1 REGS          | CUSIP: ACI2P2371<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4462505 | PA      | $6143227.51   | 0.65%             | 2054-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.54300 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $6406.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY36 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $86473.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.17 04/01/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-94361.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3           | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361347 | PA      | $359722.68    | 0.04%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | AUST 10Y BOND FUT SEP25 XSFE 20250915                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         48 | NC      | $29372.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.45000 11/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24418.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60000 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12075.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                   | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B B 144A        | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2005936.20   | 0.21%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4864 FN 01/43 FIXED 4                         | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2021 | PA      | $1951.49      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-GEL3                              | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL3 M1 144A     | CUSIP: 86360XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     766688 | PA      | $753202.26    | 0.08%             | 2036-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.2* 9/12/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $280393.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT SEP25 XCBT 20250919                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -54 | NC      | $-156588.82   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260528                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-78.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL V83950 FG 02/48 FIXED 3                 | CUSIP: 3132L9L78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12267 | PA      | $10781.83     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.03000 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4295.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-0.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1792.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                   | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   42600000 | PA      | $2267202.22   | 0.24%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $4926.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88000 07/10/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9251.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 06/47 5.25           | CUSIP: X5424XBQ0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1400000 | PA      | $0.01         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46500 10/30/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-23836.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.51000 04/09/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2340.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.20250 01/10/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $5326.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1            | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     400000 | PA      | $0.00         | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.87 03/22/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-16068.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | REPUBLIC OF TURKIYE SR UNSECURED 04/29 7.625              | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     700000 | PA      | $733779.36    | 0.08%             | 2029-04-26      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875      | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $598839.35    | 0.06%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5137 FN 09/53 FIXED 5                         | CUSIP: 31418EV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46198 | PA      | $45466.56     | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR              | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     879658 | PA      | $591899.88    | 0.06%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                        | SAXON ASSET SECURITIES TRUST SAST 2004 3 M2               | CUSIP: 805564QW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     628582 | PA      | $574141.31    | 0.06%             | 2034-12-26      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                      | THAMES WATER UTIL FIN SR SECURED REGS 06/48 4.625         | CUSIP: ACI025FP0<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $91243.41     | 0.01%             | 2048-06-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20250710                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $64050.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $5512.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                           | TRANSDIGM, INC. 2023 TERM LOAN J                          | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    2995584 | PA      | $3004286.52   | 0.32%             | 2031-02-14      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.79250 11/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6282.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 03/19/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $185097.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10128.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-71932.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.42000 03/07/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5018.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                       | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A           | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5762042 | PA      | $5800267.31   | 0.61%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-70949.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A        | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3702137 | PA      | $3677100.43   | 0.39%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AL2908 FN 08/27 FIXED VAR                       | CUSIP: 3138EKGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16584 | PA      | $16384.59     | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A        | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4398725 | PA      | $4356214.12   | 0.46%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-3867.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                   | BBCCRE TRUST BBCCR 2015 GTP A 144A                        | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3790849.75   | 0.40%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41000 07/31/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $15945.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -300000 | PA      | $-254925.56   | -0.03%            | 2054-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1676776.02  | -0.18%            |  |  |  | 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        |   11617650 | PA      | $11287676.91  | 1.19%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB5211 FN 12/52 FIXED 6                         | CUSIP: 3140QQYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1719205 | PA      | $1753930.76   | 0.18%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.10833 03/19/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $65383.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $19771.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                    | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A          | CUSIP: 40431JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     849665 | PA      | $734793.12    | 0.08%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 02/26 2.75                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $988756.91    | 0.10%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                    | BAYER US FINANCE LLC BAYER US FINANCE LLC                 | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2740000 | PA      | $2939125.80   | 0.31%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  AUG25C 112.7 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-4375.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 03/20/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $137252.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DA5748 FN 12/53 FIXED 6.5                       | CUSIP: 3140A6L61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2933930 | PA      | $3041141.61   | 0.32%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                         | PFP III PFP 2024 11 A 144A                                | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3084714 | PA      | $3095698.44   | 0.33%             | 2039-09-17      | Floating      | 6.14%                 | 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        |   62000000 | PA      | $3270209.98   | 0.34%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | ALTICE FRANCE SA SR SECURED REGS 01/28 3.375              | CUSIP: ACI1FL2Y4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     100000 | PA      | $98920.76     | 0.01%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7530.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $72901.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.00100 01/06/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4087.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                     | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A             | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3521445.20   | 0.37%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.715 03/24/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-7531.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM42 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-5938.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9LLA2 PIMCO SWAPTION 4.095 PUT USD 2025071            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-126.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WINDSTREAM HOLDINGS II LLC                                              | WINDSTREAM UNITS EQUITY                                   | CUSIP: 952YSX903<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1684 | NS      | $33009.40     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-453737.34   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP BRC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $754.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 7/05/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-80856.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86000 11/14/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7637.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.3275 04/05/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-102592.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV3            | CUSIP: 126670PK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9800000 | PA      | $9663471.30   | 1.01%             | 2036-05-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN    | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4501578 | PA      | $4636625.61   | 0.49%             | 2028-09-15      | Fixed         | 12.24%                | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5          | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1988000 | PA      | $1961095.20   | 0.21%             | 2035-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.30000 10/03/23-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $72207.51     | 0.01%             |  |  |  | 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      | $-8496.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51500 11/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-52300.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  AUG25C 112 EXP 07/25/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-7500.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  AUG25P 108.5 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-312.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 9/17/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2793386.79   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                      | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A       | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     188300 | PA      | $188765.94    | 0.02%             | 2031-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9LMA1 PIMCO SWAPTION 3.695 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-4170.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $115063.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9EJA1 PIMCO SWAPTION 3.727 CALL USD 202506            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-3167.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-219727.18   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.75000 03/05/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6554.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90750 03/04/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10688.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.58000 08/29/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5029.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-75125.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 02/26 2.196                        | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     290000 | PA      | $285514.72    | 0.03%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1131.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.70 7/12/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-141303.35   | -0.01%            |  |  |  | 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        |     421978 | PA      | $483469.62    | 0.05%             | 2039-08-28      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260602                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.098 03/28/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-114432.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8404 FR 02/54 FIXED 7                 | CUSIP: 3132DWKR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1262136 | PA      | $1331567.16   | 0.14%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-OPT1                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT1 M1          | CUSIP: 17307GNR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1619227 | PA      | $1524820.41   | 0.16%             | 2035-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08773 FG 08/47 FIXED 3                 | CUSIP: 3128MJ2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19763 | PA      | $17507.74     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20250708                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $129.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 M1 144A       | CUSIP: 12661GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3182675 | PA      | $2585602.62   | 0.27%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $8101496.88   | 0.85%             | 2054-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                       | CIM TRUST CIM 2023 R4 A1 144A                             | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3522020 | PA      | $3530861.67   | 0.37%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 09/20/23-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $111864.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG43 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $52497.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9M3A0 PIMCO SWAPTION 4.037 PUT USD 2025071            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-258.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-94861.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 1A2         | CUSIP: 232434AU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3495289 | PA      | $3231149.34   | 0.34%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $55665.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4              | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      71000 | PA      | $18972.88     | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.45000 03/07/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10761.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9IZA4 PIMCO SWAPTION 4.125 PUT USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 7/26/23-29Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-39024.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2506.57      | 0.00%             |  |  |  | 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        |      12423 | PA      | $11839.97     | 0.00%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                 | BPCE SA 144A 10/27 VAR                                    | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1250000 | PA      | $1279951.35   | 0.13%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-6909.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-72489.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.44600 10/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11724.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/18/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7403.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375    | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     385000 | PA      | $48537.88     | 0.01%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-152782.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-24.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A1           | CUSIP: 590238AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4395218 | PA      | $1744871.39   | 0.18%             | 2047-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9JRA1 PIMCO SWAPTION 4.12 PUT USD 20250709            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-9.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                         | PRP ADVISORS, LLC PRPM 2024 8 A1 144A                     | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3649421 | PA      | $3628315.06   | 0.38%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.40500 03/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6979.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55500 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7984.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.25 11/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-80900.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO/THE SR UNSECURED 05/29 6.298                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      50000 | PA      | $52873.79     | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20250917                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5176.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2437.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1259000 | PA      | $1229449.57   | 0.13%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | REPUBLIC OF TURKIYE SR UNSECURED 03/30 5.25               | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     600000 | PA      | $572007.28    | 0.06%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6        | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      63000 | PA      | $8019.45      | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20270610                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-163.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.4 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-36330.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 A2D              | CUSIP: 61744CZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     701059 | PA      | $687221.35    | 0.07%             | 2036-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $32509.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/0.00000 03/15/21-8Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $1042766.25   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1370.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                     | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     940738 | PA      | $640329.36    | 0.07%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250711                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4885.11     | -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      | $-116207.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-7474.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.65000 03/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-31.05       | -0.00%            |  |  |  | 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        |    4288639 | PA      | $4292416.14   | 0.45%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $76.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-5467.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250813                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1516.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 7/24/23-29Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-39933.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 08/33 VAR                  | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     500000 | PA      | $544031.60    | 0.06%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-200.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUGO FUNDING DAC 24-1A                                                  | LUGO FUNDING DAC 05/66 1                                  | CUSIP: ACI2S0075<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    3204464 | PA      | $3782607.44   | 0.40%             | 2066-05-26      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITIES FINANCE PLC                                      | THAMES WATER UTIL FIN SR SECURED REGS 04/42 2.375         | CUSIP: ACI1LVZ52<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $727413.89    | 0.08%             | 2042-04-22      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S REGS 01/26 1.875                 | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    1515000 | PA      | $1777942.71   | 0.19%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $7421.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1472.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A      | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2624771 | PA      | $3095064.88   | 0.33%             | 2033-05-15      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                         | MITCHELLS + BUTLERS FINA SECURED REGS 12/30 6.013         | CUSIP: 337792II8<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |       6954 | PA      | $9630.67      | 0.00%             | 2030-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.17500 10/10/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15555.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2710834000 | PA      | $1421433.60   | 0.15%             | 2026-06-29      | None          | 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      | $-23652.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.59500 08/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3876.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY SR UNSECURED 02/29 VAR                     | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2029000 | PA      | $2064880.23   | 0.22%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                             | ILLINOIS ST ILS 04/35 FIXED 6.725                         | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       7692 | PA      | $8139.99      | 0.00%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG41 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2200.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.40000 02/23/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5775.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/27 4.271         | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1970000 | PA      | $1942339.94   | 0.20%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84000 01/08/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6976.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-71119.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20250724                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-138.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 8/12/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $113027.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251217                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-5867.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A      | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4329490.44   | 0.45%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2660.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-270173.93   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/27 0.375                               | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      65564 | PA      | $64685.56     | 0.01%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-34640.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL           | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       5769 | PA      | $3778.55      | 0.00%             | 2025-07-31      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20250723                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $6604.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2FP             | CUSIP: 617526AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3791998 | PA      | $2148026.81   | 0.23%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1010.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-78966.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.09000 01/22/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19846.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                        | GAZPROM PJSC (GAZ FN) SR UNSECURED 144A 01/29 2.95        | CUSIP: ACI1V9J90<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1072500.00   | 0.11%             | 2029-01-27      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                          | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000       | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    2525000 | PA      | $1796865.75   | 0.19%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 01/26 2.625                               | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3500000 | PA      | $3467932.27   | 0.36%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.39500 10/17/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13983.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.42600 08/01/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $6360.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60000 01/17/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $906.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9JKA8 PIMCO SWAPTION 4.14 PUT USD 20250709            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-8.19        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.93000 03/24/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-23813.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN              | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1950402 | PA      | $1950402.12   | 0.20%             | 2029-12-23      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.52000 04/09/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2025.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10000 09/02/25-27Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-105574.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM36 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $24603.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 8/17/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $99244.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.08000 02/23/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29790.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-10A                                     | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 10A A 144A          | CUSIP: 04942JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       7958 | PA      | $7966.50      | 0.00%             | 2031-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                             | ILLINOIS ST ILS 07/35 FIXED 7.35                          | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       7857 | PA      | $8406.11      | 0.00%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-48978.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25000 03/20/24-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12889.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.87397 08/03/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-30949.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.26 03/25/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-4612.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.02 10/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-53053.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q61005 FG 01/49 FIXED 3                 | CUSIP: 3132VMDK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90326 | PA      | $79752.20     | 0.01%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5.5 JUMBOS                              | CUSIP: 21H052678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2203574.54   | 0.23%             | 2054-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 11/28 4                            | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3145313 | PA      | $164338.41    | 0.02%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR              | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    5070763 | PA      | $3156549.97   | 0.33%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.20325 04/02/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-130455.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250918                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-23621.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.73500 08/07/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $363.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.245 03/25/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-4654.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.09000 04/30/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $44996.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/30 4.75         | CUSIP: 80414L2X2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    2200000 | PA      | $2211798.36   | 0.23%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                    | EUROSAIL PLC ESAIL 2007 3X A3A REGS                       | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     188111 | PA      | $258151.36    | 0.03%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64500 08/07/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4206.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.9* 7/17/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $111626.53    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $118.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-10978.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $113.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/45 0.75                                | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     817290 | PA      | $597222.03    | 0.06%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.36000 08/07/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $22938.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/8.99000 12/24/24-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $12715.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-6493.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  DEC25 XCME 20260317                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -11 | NC      | $41577.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9FPA1 PIMCO SWAPTION 3.677 CALL USD 202506            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-0.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5 JUMBOS                                | CUSIP: 21H050672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1964919.44   | 0.21%             | 2054-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS B COMMON STOCK                    | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      24427 | NS      | $37832.54     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.39250 10/25/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11274.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.37500 10/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14876.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $109705.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                         | AVON FINANCE AVON 4A A 144A                               | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3517877 | PA      | $4836860.98   | 0.51%             | 2049-12-28      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25500 10/23/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9098.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20250709                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1654.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TIAA CLO IV LTD 2018-1A                                                 | TIAA CLO LTD TIA 2018 1A A1AR 144A                        | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2172412 | PA      | $2174571.42   | 0.23%             | 2032-01-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                            | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5           | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    2004000 | PA      | $2048481.04   | 0.22%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $78270.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4            | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408041 | PA      | $393753.36    | 0.04%             | 2047-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G60864 FG 02/47 FIXED 3                 | CUSIP: 31335A5Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18845 | PA      | $16914.63     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5217 FN 12/53 FIXED 6.5                       | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1172540 | PA      | $1211883.88   | 0.13%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                 | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A3           | CUSIP: 46602UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3522949 | PA      | $1193819.73   | 0.13%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/15/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-79524.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4                 | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182614 | PA      | $176314.13    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX MAIN43 5Y ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $142614.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 8/18/23-9Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-93630.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8017.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-7881.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/54 4.625                               | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5800000 | PA      | $5635062.50   | 0.59%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $5973.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                        | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M2             | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795400 | PA      | $719907.29    | 0.08%             | 2034-12-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11553.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | VENTURE GLOBAL LNG INC VENTURE GLOBAL LNG INC             | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    2160000 | PA      | $2185462.04   | 0.23%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2263.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-62656.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9EOA5 PIMCO SWAPTION 4.101 PUT USD 2025063            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-0.06        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12217.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 A2MZ             | CUSIP: 61744CKH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     753940 | PA      | $710968.06    | 0.07%             | 2034-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A        | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1789974 | PA      | $1796998.21   | 0.19%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 02/02/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-47462.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     664320 | PA      | $664319.78    | 0.07%             | 2026-11-03      | Floating      | 11.11%                | No            |                  3 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.47000 02/22/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-551.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9N2A9 PIMCO SWAPTION 3.564 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2289.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1302.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                     | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 3A4             | CUSIP: 02660YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6155350 | PA      | $861070.70    | 0.09%             | 2036-06-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  AUG25P 109 EXP 07/25/2025               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-312.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                          | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A       | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4400000 | PA      | $4483999.52   | 0.47%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G61681 FG 12/47 FIXED 3                 | CUSIP: 31335B2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19823 | PA      | $17533.19     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.75000 03/19/25-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $32504.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3250.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                 | COMM MORTGAGE TRUST COMM 2016 667M A 144A                 | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3813113.57   | 0.40%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A                             | EXETER AUTOMOBILE RECEIVABLES EART 2024 4A A2             | CUSIP: 30166UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     529948 | PA      | $530280.92    | 0.06%             | 2027-05-17      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM2 TRUST                                                     | MFRA TRUST MFRA 2023 NQM2 A1 144A                         | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3384571 | PA      | $3363348.17   | 0.35%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QH4807 FR 10/53 FIXED 6.5               | CUSIP: 3133CHKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87355 | PA      | $90513.56     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                        | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR          | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4004612.88   | 0.42%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20250723                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4104.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-732701.44   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $58837.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                        | ESSENT GROUP LTD ESSENT GROUP LTD                         | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |    1600000 | PA      | $1658007.57   | 0.17%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INTELSAT EMERGENCE SA CALL EXP17FEB27                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        322 | NC      | $773.08       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-425.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR                | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     300000 | PA      | $208247.72    | 0.02%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BOBL OPTION  AUG25P 117.2 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -4 | NC      | $-848.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  JUN25 XCME 20250916                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -77 | NC      | $192671.59    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2251.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                      | PRP ADVISORS, LLC PRPM 2025 RCF1 A1 144A                  | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     939812 | PA      | $927589.36    | 0.10%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                             | STATE OF ISRAEL SR UNSECURED 02/30 5.375                  | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1200000 | PA      | $1224394.19   | 0.13%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6729.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOUTH AFRICA EM SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $389.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 09/25 0.00000                               | CUSIP: 912797QU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     612000 | PA      | $606449.84    | 0.06%             | 2025-09-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-91692.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     627000 | PA      | $183084.00    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | 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        |    6700000 | PA      | $372157.25    | 0.04%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.00000 01/03/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4095.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-23090.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                  | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4         | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1590746 | PA      | $1451794.28   | 0.15%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD 2020-25A                                              | MAGNETITE CLO LTD MAGNE 2020 25A A 144A                   | CUSIP: 55955GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1596697 | PA      | $1599112.24   | 0.17%             | 2032-01-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-39464.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1147.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-74109.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                       | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A        | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6450000 | PA      | $6207465.04   | 0.65%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 03/38 7           | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      43000 | PA      | $7593.57      | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BY7878 FN 07/54 FIXED 5                         | CUSIP: 3140NQXG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     382930 | PA      | $376285.35    | 0.04%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750R6D4 PIMCO FXVAN PUT EUR USD 1.15000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    6000000 | NC      | $26440.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.79500 08/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1978.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS USD SOFR/1.57300 02/28/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29141.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG40 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4126.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 08/28 VAR                  | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $311774.36    | 0.03%             | 2028-08-11      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XI LTD 2019-2A                                              | ALLEGRO CLO LTD ALLEG 2019 2A A1AR 144A                   | CUSIP: 01750HAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3002662.29   | 0.32%             | 2033-01-19      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 05/07/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6017.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86000 02/21/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12918.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7426.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK0909 FN 07/48 FIXED 4                         | CUSIP: 3140HEAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     560177 | PA      | $530467.92    | 0.06%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-82631.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07100 01/15/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $18809.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 05/33 4.625            | CUSIP: ACI2THY21<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     600000 | PA      | $706551.29    | 0.07%             | 2033-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1365.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.61100 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12236.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12282.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.95000 06/12/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $14057.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.68500 01/24/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $874.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                    | EUROSAIL PLC ESAIL 2007 3X A3C REGS                       | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      67512 | PA      | $92648.71     | 0.01%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.70 8/17/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-340007.02   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.47000 11/01/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-19105.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250819                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-20665.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.05250 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4458.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/33 1.125                               | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     323049 | PA      | $308840.00    | 0.03%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 09/28/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-56278.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2968.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3036.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.6* 7/26/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-34721.31    | -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        |      12004 | PA      | $13908.11     | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-131.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                     | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 3A2 144A        | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349848 | PA      | $334558.71    | 0.04%             | 2036-12-26      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.30000 01/17/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $112831.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $938.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90500 03/12/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10596.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1768874.82   | 0.19%             | 2054-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4493.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $9087256.92   | 0.95%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                    | WSTN TRUST WSTN 2023 MAUI A 144A                          | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2537746.75   | 0.27%             | 2037-07-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9JQA2 PIMCO SWAPTION 3.77 CALL USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-5480.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20250718                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-6628.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                       | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2          | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     943629 | PA      | $235926.26    | 0.02%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.03000 12/15/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11506.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  AUG25P 109.5 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-625.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $33541.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A3 144A      | CUSIP: 14687NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2177791 | PA      | $2201572.52   | 0.23%             | 2028-10-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BO0973 FN 06/49 FIXED 4                         | CUSIP: 3140JVCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293115 | PA      | $275636.51    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | 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        |     100000 | PA      | $77094.27     | 0.01%             | 2033-01-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 2.75000 06/17/16-10Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-72506.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                   | ARBOUR CLO ARBR 7A AR 144A                                | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3600000 | PA      | $4242971.64   | 0.45%             | 2038-12-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-8334.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT BONDS 05/31 7.75                  | CUSIP: 975UCXII2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   15600000 | PA      | $793472.14    | 0.08%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                   | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $5045.54      | 0.00%             | 2026-05-20      | Floating      | 48.80%                | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M3           | CUSIP: 17307GP85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $834652.35    | 0.09%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | GENERAL ELECTRIC COMPANY SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $18121.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $511.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                    | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75         | CUSIP: BP7M6FII1<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      38357 | PA      | $57925.10     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-9789.42     | -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      | $1396840.27   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/47 0.875                               | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     930160 | PA      | $674546.51    | 0.07%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.89906 08/03/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-15324.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-656144.39   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.59400 01/09/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2034.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                                               | PROSUS NV SR UNSECURED 144A 01/34 2.778                   | CUSIP: ACI22XT05<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2456000 | PA      | $2639608.66   | 0.28%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.03000 10/04/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21837.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9GAA5 PIMCO SWAPTION 2.64 PUT EUR 20250703            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-246.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3183.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08791 FG 12/47 FIXED 3                 | CUSIP: 3128MJ2Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     359056 | PA      | $317336.29    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260630                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $22.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9MJA3 PIMCO SWAPTION 4.05 PUT USD 20250721            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-270.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     500000 | PA      | $464980.60    | 0.05%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CA2038 FN 07/48 FIXED 4                         | CUSIP: 3140Q9HQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120092 | PA      | $113611.61    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.4000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $157022.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5031.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25             | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     143000 | PA      | $29136.25     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9O2A7 PIMCO SWAPTION 3.895 PUT USD 2025072            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-2012.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                               | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A                 | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3600000 | PA      | $3604286.23   | 0.38%             | 2034-07-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD 2015-IA                                                  | BABSON CLO LTD BABSN 2015 IA AR 144A                      | CUSIP: 056162AN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      26418 | PA      | $26454.15     | 0.00%             | 2031-01-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                        | ALTICE FRANCE SA 2023 USD TERM LOAN B14                   | CUSIP: F6628DAN4<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     693430 | PA      | $630057.88    | 0.07%             | 2028-08-15      | Floating      | 9.76%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A       | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4005199 | PA      | $3927319.78   | 0.41%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-618142.67   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9GNA1 PIMCO SWAPTION 3.75 CALL USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-6807.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 8/16/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-39592.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 12/27 0.625                               | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1750000 | PA      | $1622714.84   | 0.17%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-69629.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20250929                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1552.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875        | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1512823.20   | 0.16%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-833.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/37 5.5      | CUSIP: P7807HAB1<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     382000 | PA      | $48144.87     | 0.01%             | 2037-04-12      | Fixed         | 5.50%                 | 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      | $17881.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-357.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/26/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-51048.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS USD SOFR/1.73000 02/24/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-80279.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.055 09/15/21-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-51551.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3             | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      90000 | PA      | $87952.98     | 0.01%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/46 1                                   | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     270748 | PA      | $205335.10    | 0.02%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-443126.95   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-81816.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 07/26 VAR                  | CUSIP: 225401AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     500000 | PA      | $500470.94    | 0.05%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 03/19/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $191218.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9O7A2 PIMCO SWAPTION 3.525 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1985.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-10801.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2007-HE2                            | MASTR ASSET BACKED SECURITIES MABS 2007 HE2 A1            | CUSIP: 57646LAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1364514 | PA      | $1197720.07   | 0.13%             | 2037-08-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS A COMMON STOCK                    | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      31404 | NS      | $55271.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $13162.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.9 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6151.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9JLA7 PIMCO SWAPTION 3.79 CALL USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-7292.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2743.93      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.40000 04/09/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4858.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KWD BOUGHT USD 20290502                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $26253.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                              | EQTYWM927 WESTMORELAND MINING                             | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        749 | NS      | $1754.34      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| TRALEE CLO VI LTD 2019 6A                                               | TRALEE CDO LTD TRAL 2019 6A A1RR 144A                     | CUSIP: 89289EBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2544875 | PA      | $2546809.07   | 0.27%             | 2032-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2018-3A                                       | NELNET STUDENT LOAN TRUST NSLT 2018 3A A2 144A            | CUSIP: 64034AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     405796 | PA      | $405892.39    | 0.04%             | 2066-09-27      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9JSA0 PIMCO SWAPTION 4.122 PUT USD 2025071            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-16.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-27145.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1A LTD                                                    | VOYA CLO LTD VOYA 2024 1A A1 144A                         | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3100000 | PA      | $3115500.00   | 0.33%             | 2037-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                           | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A     | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6881899 | PA      | $6695845.82   | 0.70%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9M4A9 PIMCO SWAPTION 3.637 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-3007.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP JPM                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6239.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                        | SOCIETE GENERALE SR UNSECURED 144A 01/34 VAR              | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    2400000 | PA      | $2562441.34   | 0.27%             | 2034-01-10      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                              | LCM LTD PARTNERSHIP LCM 31A AR 144A                       | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3302457.08   | 0.35%             | 2034-07-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $47549.14     | 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        |    4600000 | PA      | $224674.09    | 0.02%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51042 09/03/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $702.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                             | LETRA TESOURO NACIONAL BILLS 10/25 0.00000                | CUSIP: ACI2HDVK6<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   33650000 | PA      | $5974107.01   | 0.63%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20250707                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4645.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-257946.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.13 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $40506.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9N4A7 PIMCO SWAPTION 3.555 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2164.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP             | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1890988 | PA      | $979844.22    | 0.10%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260615                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-32.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND COAL CO PIK TERM LOAN                        | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       7187 | PA      | $2838.90      | 0.00%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.18249 04/04/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-112568.71   | -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      | $-275041.81   | -0.03%            |  |  |  | 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      | $4759.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $23338.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60500 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3492.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8539.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9HMA0 PIMCO SWAPTION 4.019 PUT USD 2025070            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-12.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC         | UNITI GROUP/CSL CAPITAL SR SECURED 144A 02/28 10.5        | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     371000 | PA      | $393554.02    | 0.04%             | 2028-02-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $33018.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-260.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9MQA5 PIMCO SWAPTION 3.583 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-1230.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $39058.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $98.19        | 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      | $-4392.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55000 08/21/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11664.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9L5A0 PIMCO SWAPTION 4.064 PUT USD 2025071            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |    -600000 | NC      | $-76.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.6* 8/03/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1242314.54   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                             | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                    | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2563743.23   | 0.27%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM34 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2776.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20250718                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-573.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22186.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                              | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1   | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     500000 | PA      | $149964.71    | 0.02%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY43 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $509270.35    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND MINING HOLDINGS L COMMON                     | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        237 | NS      | $148.38       | 0.00%             |  |  |  | Yes           |                  3 | 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        |      42119 | PA      | $63733.11     | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250724                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4520.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/51 0.125                               | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1971248 | PA      | $1074865.12   | 0.11%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4                 | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256963 | PA      | $248097.60    | 0.03%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN BAR SECURITISATION SRL 2023-2 23-2                               | GOLDEN BAR SECURITISATION GOLDB 2023 2 A REGS             | CUSIP: ACI2KTMD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |    3078442 | PA      | $3649928.82   | 0.38%             | 2043-09-22      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.25000 06/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $280242.29    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030470<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $286095.19    | 0.03%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/46 2.875                               | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1400000 | PA      | $1031187.50   | 0.11%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2019 3A                                                    | VOYA CLO LTD VOYA 2019 3A AR 144A                         | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2640727 | PA      | $2643370.85   | 0.28%             | 2032-10-17      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF17                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF17 A1           | CUSIP: 32028KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356593 | PA      | $345512.55    | 0.04%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.066 09/15/21-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-89012.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $326.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.46000 08/02/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $11411.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 7/15/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $232149.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-17616.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.70000 09/18/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $70355.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625          | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1200000 | PA      | $840000.00    | 0.09%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-8                                           | GSAA HOME EQUITY TRUST GSAA 2005 8 M2                     | CUSIP: 362341CV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4831000 | PA      | $3919421.70   | 0.41%             | 2035-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5070 FN 07/53 FIXED 4.5                       | CUSIP: 31418ET42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     448614 | PA      | $430061.93    | 0.05%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 8/07/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $448678.61    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9LHA7 PIMCO SWAPTION 3.697 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-4048.80     | -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      | $-1747.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RMS1                                     | STRUCTURED ASSET SECURITIES CO SASC 2005 RMS1 M1          | CUSIP: 86359B6S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640630 | PA      | $650565.63    | 0.07%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $17376.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGE PLC 2007-2                                         | EUROHOME UK MORTGAGES PLC EHMU 2007 2 M1 REGS             | CUSIP: B24529II0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2825000 | PA      | $3843813.30   | 0.40%             | 2044-09-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5               | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119542 | PA      | $120069.80    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9017 G2 07/53 FIXED 5.5                    | CUSIP: 36179YAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1456644 | PA      | $1466834.36   | 0.15%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                             | ILLINOIS ST ILS 02/35 FIXED 6.63                          | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      30769 | PA      | $32342.44     | 0.00%             | 2035-02-01      | Fixed         | 6.63%                 | 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      | $-82325.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $13633.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QH2941 FR 10/53 FIXED 6                 | CUSIP: 3133CFHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86780 | PA      | $88378.67     | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $55.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20250714                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $15.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.75 06/16/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $713513.88    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BX2438 FN 11/52 FIXED 6                         | CUSIP: 3140N6V82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128286 | PA      | $130692.70    | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4778.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20250818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5461.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5 JUMBOS                                | CUSIP: 21H050680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $294562.13    | 0.03%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41500 07/31/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4282.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-221.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4.5 JUMBOS                              | CUSIP: 21H042679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6701593.36   | 0.70%             | 2054-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250903                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $34641.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                             | STATE OF ISRAEL STATE OF ISRAEL                           | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1600000 | PA      | $1622259.07   | 0.17%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A             | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1055307 | PA      | $960366.65    | 0.10%             | 2035-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.06000 07/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10255.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 2A A 144A       | CUSIP: ACI2Q3MV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2829237 | PA      | $3330418.24   | 0.35%             | 2034-05-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20250718                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-46266.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20250723                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4104.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9GFA0 PIMCO SWAPTION 3.725 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-3194.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1406.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.0 09/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-41235.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                     | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A2          | CUSIP: 00075VAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3443381 | PA      | $2033921.99   | 0.21%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                    | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285164 | PA      | $273737.62    | 0.03%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DA2733 FN 01/54 FIXED 6                         | CUSIP: 3140A3BB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700172 | PA      | $712324.38    | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A        | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1931448 | PA      | $2657134.06   | 0.28%             | 2053-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.13 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $54611.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1115.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  AUG25P 110.2 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-1250.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL            | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      16134 | PA      | $8470.17      | 0.00%             | 2025-06-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 9/15/23-3Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-484845.12   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 04/10/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7890.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                 | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7            | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     560000 | PA      | $44100.00     | 0.00%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 09/25 0.00000                               | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     181000 | PA      | $179467.47    | 0.02%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.22 03/25/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-9450.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.23000 10/23/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8704.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 PT            | CUSIP: 38376RYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96311 | PA      | $99400.99     | 0.01%             | 2066-09-20      | Variable      | 7.84%                 | 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      | $9.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4375.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9MOA7 PIMCO SWAPTION 3.605 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2823.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-27471.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1168.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NATWEST GROUP PLC SR UNSECURED 09/28 VAR                  | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $2247463.22   | 0.24%             | 2028-09-30      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1111.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG         | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1345000 | PA      | $161400.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20250804                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $35382.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9IEA7 PIMCO SWAPTION 4.03 PUT USD 20250707            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-4.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  707100000 | PA      | $374273.83    | 0.04%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1173.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                       | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A           | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1657530 | PA      | $1673387.72   | 0.18%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2004-FFH2                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FFH2 M3           | CUSIP: 32027NJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2545833 | PA      | $2496561.61   | 0.26%             | 2034-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 01/28 0.75                                | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1484687.50   | 0.16%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-4Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5185.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-20115.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.24800 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20791.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20250707                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1270.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20250710                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5612.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 05/28 9.25        | CUSIP: P17625AB3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      83000 | PA      | $14715.69     | 0.00%             | 2028-05-07      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BY6919 FN 08/53 FIXED 6                         | CUSIP: 3140NPVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28031 | PA      | $28521.74     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1926000 | PA      | $1455649.17   | 0.15%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                      | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR         | CUSIP: BJBQCWII7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | EP               | CORP              | NL        |    1469650 | NS      | $1975720.98   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4779 FN 10/42 FIXED 4                         | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8012 | PA      | $7736.00      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-14156.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BOBL FUTURE  SEP25 XEUR 20250908                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -27 | NC      | $16967.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/-0.0200 3/20/21-8Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $89789.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20250805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-117.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  MAR26 XCME 20260616                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $30411.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9J0A0 PIMCO SWAPTION 3.775 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-5324.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $51331.45     | 0.01%             |  |  |  | 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      | $26357.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55800 08/21/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7985.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/21/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5191.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.38500 06/08/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21372.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                     | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/26 2         | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1463418.93   | 0.15%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.25000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-49752.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 03/26 4.5                                 | CUSIP: 91282CKH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13200000 | PA      | $13237061.24  | 1.39%             | 2026-03-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.52000 03/27/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2104.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK CITY OF                                                        | NEW YORK NY NYC 02/55 FIXED 6.385                         | CUSIP: 64966SNJ1<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |     150000 | PA      | $156096.54    | 0.02%             | 2055-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9HNA9 PIMCO SWAPTION 3.669 CALL USD 202507            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1988.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-316.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                       | CIM TRUST CIM 2024 R1 A1 144A                             | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3180530 | PA      | $3156691.95   | 0.33%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/18/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24523.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $618758.84    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                  | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A        | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1966756 | PA      | $1970118.96   | 0.21%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1654.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.87200 04/06/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-125613.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20250723                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2785.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $42931.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.37000 03/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6569.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                               | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A2 144A           | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2503186 | PA      | $2503468.82   | 0.26%             | 2027-10-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM40 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-6848.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     112159 | PA      | $93764.84     | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3200000 | PA      | $-2533940.32  | -0.27%            | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.93932 08/07/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-24034.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.78000 05/02/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $13808.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA ROMANIA                                           | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $444106.24    | 0.05%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20250709                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1262.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $144.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20250820                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-76712.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AIRBUS FINANCE BV SNR SE ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |          1 | NC      | $18913.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3214.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                        | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A            | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5823873 | PA      | $5942355.29   | 0.62%             | 2065-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20250702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $51306.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20250808                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-993.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1287482.54   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 06/14/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-25724.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.23200 09/10/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10806.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.97000 02/27/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7384.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6 JUMBOS                                | CUSIP: 21H060689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2300000 | PA      | $2331350.63   | 0.24%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-290837.55   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.61300 08/22/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5584.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.37000 07/12/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-32659.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                          | BRIDGEGATE FUNDING PLC BRGTE 2023 1A B 144A               | CUSIP: ACI2C6Q55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8737000 | PA      | $12097590.52  | 1.27%             | 2062-10-16      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.04072 08/02/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-63410.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS STATIC 2024-1 LTD                                | GOLUB CAPITAL PARTNERS STATIC GOST 2024 1A A1 144A        | CUSIP: 381929AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1899687 | PA      | $1899686.76   | 0.20%             | 2033-04-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M3            | CUSIP: 03072SUB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1815321 | PA      | $1702453.13   | 0.18%             | 2034-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RQ0016 FR 06/55 FIXED 7                 | CUSIP: 3142J6AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85860 | PA      | $90570.31     | 0.01%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8052.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/31 0.125                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3291145 | PA      | $3029825.52   | 0.32%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                              | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A               | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4001683.12   | 0.42%             | 2034-10-23      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN              | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     249598 | PA      | $249597.88    | 0.03%             | 2029-12-23      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/26 0.125                               | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9417947 | PA      | $9314005.64   | 0.98%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                   | GLP CAPITAL LP / FIN II COMPANY GUAR 01/31 4              | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1401190.61   | 0.15%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                     | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A         | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1363442 | PA      | $1374949.92   | 0.14%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-302472.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                         | PRP ADVISORS, LLC PRPM 2025 4 A1 144A                     | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4539719.70   | 0.48%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                             | INTELSAT EMERGENCE SA COMMON STOCK                        | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      28556 | NS      | $985090.16    | 0.10%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.99764 08/04/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-61452.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.15000 10/12/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14811.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20250716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-259.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                   | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $5044.48      | 0.00%             | 2026-08-19      | Floating      | 48.80%                | 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        |    4636758 | PA      | $4326890.19   | 0.45%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.48100 10/29/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10178.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.23100 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21525.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 08/34 5.4                 | CUSIP: ACI1CNG93<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     300000 | PA      | $80167.11     | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG44 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $424364.61    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A        | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3559234 | PA      | $3600984.89   | 0.38%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE5                                    | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE5 M5          | CUSIP: 04541GSM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $9653833.20   | 1.01%             | 2035-06-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.45000 10/04/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $66480.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer