# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007179
**Filing Date:** 2026-5
**Character Count:** 410006
**Document Hash:** 09b78afab774bd41072fc914abbb0470
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007179.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007179

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043333

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

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

## Series and Classes Contracts Data

### PIMCO Total Return ESG Fund (Series ID: S000009710)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026658 | Institutional  | PTSAX           |
| C000026659 | Administrative | PRFAX           |
| C000066771 | I-2            | PRAPX           |
| C000203306 | I-3            |  |
| C000217562 | Class A        | PTGAX           |
| C000217563 | Class C        | PTGCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Total Return ESG Fund

- **b. EDGAR series identifier (if any):** S000009710

- **c. LEI of Series:** L5PKZHI2VYFXFVFBIX10

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

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

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2430405598.44

**Total Liabilities:** $762402122.23

**Net Assets:** $1668003476.21

**Cash Not Reported:** $21001290.68

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 71375.585400 | **1-Year:** 91040.322100 | **5-Year:** 456621.855100 | **10-Year:** 141669.490500 | **30-Year:** -6876.308200

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

- **3-Month:** 976.148200 | **1-Year:** 4020.045600 | **5-Year:** 8397.330600 | **10-Year:** 1768.964500 | **30-Year:** 92.551500

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026659 | 0.40%                | 1.69%                | -2.45%               |
| Class ID C000217562 | 0.39%                | 1.67%                | -2.47%               |
| Class ID C000217563 | 0.33%                | 1.62%                | -2.53%               |
| Class ID C000066771 | 0.42%                | 1.70%                | -2.44%               |
| Class ID C000203306 | 0.41%                | 1.69%                | -2.45%               |
| Class ID C000026658 | 0.42%                | 1.71%                | -2.43%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $496527.86               | $3420341.93                                |
| Month 2  | $1067639.55              | $27668225.26                               |
| Month 3  | $-1130826.74             | $-53388479.78                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 08/30 VAR                | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3900000 | PA      | $3710188.01    | 0.22%             | 2030-08-13      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $62.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8573 FR 06/53 FIXED 5               | CUSIP: 3133KQQ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14990102 | PA      | $14848634.86   | 0.89%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/40 1.375                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29100000 | PA      | $18754154.41   | 1.12%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 05/41 0.00000                                    | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3600000 | PA      | $1712508.08    | 0.10%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5173.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                      | LEHMAN MORTGAGE TRUST LMT 2007 8 1A1                    | CUSIP: 52521YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323542 | PA      | $317570.76     | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY                  | CALIFORNIA ST HLTH FACS FING A CASMED 06/37 FIXED 4.19  | CUSIP: 13032UD88<br>LEI: 5493007RI8BUDOGHZ546 | Long             | DBT              | MUN               | US        |    2000000 | PA      | $1874712.20    | 0.11%             | 2037-06-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| LOCAL INITIATIVES SUPPORT CORPORATION                             | LOCAL INITIATIVES SUPPOR UNSECURED 03/27 3.782          | CUSIP: 539565AC5<br>LEI: 549300V1ATNB9BHB6146 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4977861.15    | 0.30%             | 2027-03-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $52881.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-154491.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-184328.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985616 FN 04/34 FIXED 5.5                     | CUSIP: 31415P3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1172413 | PA      | $1196864.35    | 0.07%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                         | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2          | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     465623 | PA      | $393593.63     | 0.02%             | 2033-01-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-11742.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555880 FN 11/33 FIXED VAR                     | CUSIP: 31385XQ91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1740 | PA      | $1773.69       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | 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        |   11065000 | PA      | $10447564.37   | 0.63%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W8                                      | FANNIEMAE WHOLE LOAN FNW 2004 W8 2A                     | CUSIP: 31394ALL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9274 | PA      | $9434.76       | 0.00%             | 2044-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6830 FN 07/53 FIXED 4.5                     | CUSIP: 3140QSSU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13650181 | PA      | $13218981.30   | 0.79%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO 8 LTD                           | GOLDENTREE LOAN MANAGEMENT US GLM 2020 8A ARR 144A      | CUSIP: 38136NAY2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3420000 | PA      | $3424171.72    | 0.21%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC2754 FN 08/39 FIXED 5.5                     | CUSIP: 31417MBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99327 | PA      | $101884.50     | 0.01%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-95179.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH9386 G2 06/48 FIXED 4                    | CUSIP: 3617H7NB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1522675 | PA      | $1437592.27    | 0.09%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2022-1A                                   | MOSAIC SOLAR LOANS LLC MSAIC 2022 1A A 144A             | CUSIP: 61946QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7717067 | PA      | $6766455.55    | 0.41%             | 2053-01-20      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745423 FN 04/36 FIXED VAR                     | CUSIP: 31403DD48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3200 | PA      | $3357.95       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY HOUSTON ELECTRIC LLC                           | CENTERPOINT ENER HOUSTON GENL REF MOR 04/53 5.3         | CUSIP: 15189XBC1<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1883069.98    | 0.11%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| COTY INC                                                          | COTY INC SR UNSECURED 144A 05/27 4.5                    | CUSIP: ACI2P8220<br>LEI: 549300BO9IWPF3S48F93 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $3125126.91    | 0.19%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $831341.29     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8482 FR 07/53 FIXED 5               | CUSIP: 3133KQM78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13142883 | PA      | $13010757.20   | 0.78%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF MICHIGAN                                            | UNIV OF MICHIGAN MI UNVHGR 04/52 FIXED 3.504            | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3100000 | PA      | $2251195.51    | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -22 | NC      | $-8186.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 597767 GN 03/33 FIXED 5                       | CUSIP: 36200DCC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3678 | PA      | $3669.73       | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-53340.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2020-P003              | FREDDIE MAC MULTICLASS CERTIFI FHMR 2020 P003 A2        | CUSIP: 3137FWHZ6<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |   15000000 | PA      | $12542383.50   | 0.75%             | 2034-06-25      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $30242.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745933 FN 09/36 FIXED VAR                     | CUSIP: 31403DV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35508 | PA      | $37262.42      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2276.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/42 4                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14364000 | PA      | $13001944.90   | 0.78%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-10810.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | UNITED MEXICAN STATES UNITED MEXICAN STATES             | CUSIP: ACI2MJSF2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    3500000 | PA      | $4028767.96    | 0.24%             | 2032-05-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                  | TREASURY CORP VICTORIA LOCAL GOVT G 11/37 2             | CUSIP: ACI1Q9PP3<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1200000 | PA      | $559795.22     | 0.03%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/41 4.375                             | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7268000 | PA      | $7002547.64    | 0.42%             | 2041-05-15      | Fixed         | 4.38%                 | 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        |  417400000 | PA      | $2324084.67    | 0.14%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08200 FG 05/37 FIXED 6               | CUSIP: 3128MJGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59645 | PA      | $62682.10      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $37614.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-245932.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32572000 | PA      | $20267163.51   | 1.22%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $859.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G30409 FG 06/28 FIXED 6               | CUSIP: 3128CUN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        548 | PA      | $559.66        | 0.00%             | 2028-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2024-B OWNER TRUST                        | TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 B A3            | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1985782 | PA      | $2003619.81    | 0.12%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO7890 G2 07/49 FIXED 3.5                  | CUSIP: 3617KPXT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1456762 | PA      | $1348605.07    | 0.08%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725975 FN 09/34 FLOATING VAR                  | CUSIP: 31402DQ45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9883 | PA      | $10128.41      | 0.00%             | 2034-09-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $17.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -54 | NC      | $183862.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/55 2.375                             | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1133693 | PA      | $1054810.23    | 0.06%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 02/29 4.55                     | CUSIP: 68389XDW2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3357701.42    | 0.20%             | 2029-02-04      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24583.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                               | UNITED KINGDOM GILT BONDS REGS 10/61 0.5                | CUSIP: BMBL1DII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     700000 | PA      | $219316.63     | 0.01%             | 2061-10-22      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5             | CUSIP: 3128M7AX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10817 | PA      | $11147.38      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9049 FR 05/53 FIXED 4               | CUSIP: 3133KRBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4509259 | PA      | $4265859.41    | 0.26%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6348.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6480.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG6260 G2 06/48 FIXED 4                    | CUSIP: 3617GQ5V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     878348 | PA      | $829813.11     | 0.05%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-21127.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 2A4          | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1469738 | PA      | $1380416.48    | 0.08%             | 2037-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-11526.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES  | 10 RENEW POWER SUBSIDIAR SR SECURED REGS 07/28 4.5      | CUSIP: Y7280PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |     500000 | PA      | $472043.90     | 0.03%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                         | HA SUSTAINABLE INF CAP COMPANY GUAR 03/36 6             | CUSIP: 41068XAK6<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2136040.06    | 0.13%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/43 3.125                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12100000 | PA      | $9692289.00    | 0.58%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI5364 FN 04/31 FIXED 4.5                     | CUSIP: 3138AJ6A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3954 | PA      | $3945.14       | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 481473 FN 02/29 FIXED 6                       | CUSIP: 31382F2E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.90         | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY COMPANY LLC                               | ONCOR ELECTRIC DELIVERY SR SECURED 144A 05/31 3.5       | CUSIP: ACI2P4RP1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2528636.03    | 0.15%             | 2031-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                   | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1 | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    2600000 | PA      | $1433212.82    | 0.09%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JAPAN INTERNATIONAL COOPERATION AGENCY                            | JAPAN INT L COOP AGENCY GOVT GUARANT 04/27 2.75         | CUSIP: 47109LAB0<br>LEI: 254900XEIG78M2AJB031 | Long             | DBT              | NUSS              | JP        |    4500000 | PA      | $4441785.89    | 0.27%             | 2027-04-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-80.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG3076 G2 05/48 FIXED 4                    | CUSIP: 3617GMMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1067847 | PA      | $1008838.51    | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PRESERVATION CORP                                       | COMMUNITY PRESERVATION C SR UNSECURED 02/30 2.867       | CUSIP: 20402CAA3<br>LEI: 254900CWS66ZXCS6P481 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $13956168.30   | 0.84%             | 2030-02-01      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/42 3                                 | CUSIP: 912810QW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $318937.50     | 0.02%             | 2042-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1509.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $650156.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE5205 FN 03/47 FIXED 3.5                     | CUSIP: 3140FQYB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     744308 | PA      | $698031.80     | 0.04%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1068.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 430877 FN 09/28 FIXED 6.5                     | CUSIP: 31379VUA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $78.66         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX              | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5780932.80    | 0.35%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 03/18/26-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12012.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $7139.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $5230.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA I TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01N050644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2976297.66    | 0.18%             | 2055-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0570 FN 08/37 FIXED VAR                     | CUSIP: 31418MT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     398519 | PA      | $406661.49     | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/18/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1871482.92    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH0394 G2 06/48 FIXED 4                    | CUSIP: 3617GWNK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     380115 | PA      | $359030.61     | 0.02%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6418 FN 05/53 FIXED 5                       | CUSIP: 3140QSDY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10427644 | PA      | $10340471.06   | 0.62%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4678                                           | FREDDIE MAC FHR 4678 AF                                 | CUSIP: 3137BWWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1685300 | PA      | $1664691.36    | 0.10%             | 2042-12-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 08/41 0.00000                                    | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $2578985.04    | 0.15%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91325 FG 08/30 FIXED 4               | CUSIP: 3128P7PJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $687.15        | 0.00%             | 2030-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06954 FG 05/40 FIXED 6               | CUSIP: 3128M9BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8970 | PA      | $9425.27       | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $340204.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6609 FN 06/53 FIXED 4.5                     | CUSIP: 3140QSKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10497740 | PA      | $10175328.70   | 0.61%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.00000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-321617.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $904.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735502 FN 04/35 FIXED VAR                     | CUSIP: 31402RDF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68080 | PA      | $70617.10      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $170.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-1785.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       2168 | NC      | $-3122875.34   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     641000 | PA      | $199778.55     | 0.01%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A54678 FG 06/36 FIXED 6               | CUSIP: 3128KHFT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10576 | PA      | $10994.64      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784346 G2 07/47 FIXED 3.5                  | CUSIP: 3622A2ZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     898215 | PA      | $842821.79     | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7217 FN 09/53 FIXED 4.5                     | CUSIP: 3140QTAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17812429 | PA      | $17231393.28   | 1.03%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                        | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4905946.10    | 0.29%             | 2034-10-28      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-255.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-44818.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                          | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A            | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1430704 | PA      | $1439474.09    | 0.09%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7216 FN 09/53 FIXED 4                       | CUSIP: 3140QTAS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21168724 | PA      | $20019595.30   | 1.20%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 801773 FN 12/36 FIXED 6                       | CUSIP: 31405WXA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $178.75        | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21114.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9795 FR 09/53 FIXED 4               | CUSIP: 3133KR3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4301404 | PA      | $4066555.60    | 0.24%             | 2053-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                          | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A            | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1573901 | PA      | $1584933.62    | 0.10%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1         | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225691 | PA      | $175196.90     | 0.01%             | 2046-12-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 756226 FN 01/34 FIXED 5.5                     | CUSIP: 31403SD78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        564 | PA      | $570.14        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8571 FR 06/53 FIXED 4               | CUSIP: 3133KQQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2514997 | PA      | $2381842.13    | 0.14%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 12/55 3.4                   | CUSIP: ACI37YF43<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  140000000 | PA      | $842884.60     | 0.05%             | 2055-12-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6528.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 252211 FN 01/29 FIXED 6                       | CUSIP: 31371HDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        376 | PA      | $383.41        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7736 FN 08/46 FIXED 3                       | CUSIP: 3138WHS29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4285238 | PA      | $3867837.90    | 0.23%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-113.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS CAD CAONREPO/2.7404 03/10/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $21555.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCABA3 PIMCO SWAPTION 4.069 PUT USD 2026043          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3800000 | NC      | $-11448.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -1338174 | NC      | $-1069.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-52623.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -10 | NC      | $-10518.24     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 774311 GN 05/42 FIXED 5                       | CUSIP: 36176SAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26617 | PA      | $26917.10      | 0.00%             | 2042-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                        | MARRIOTT INTERNATIONAL SR UNSECURED 10/31 4.5           | CUSIP: 571903BW2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3163990.18    | 0.19%             | 2031-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4ZA1 PIMCO SWAPTION 2.92 PUT EUR 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-2967.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12553000 | PA      | $11752918.23   | 0.70%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06849 FG 09/35 FIXED 4               | CUSIP: 3128M85J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50806 | PA      | $49835.05      | 0.00%             | 2035-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19700000 | PA      | $19405917.61   | 1.16%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                             | ARES EURO CLO ARESE 14A AR 144A                         | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1531731 | PA      | $1772336.86    | 0.11%             | 2034-10-21      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888967 FN 12/37 FIXED VAR                     | CUSIP: 31410GTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24403 | PA      | $25615.19      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $20371.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7588 FN 11/53 FIXED 5                       | CUSIP: 3140QTNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11778742 | PA      | $11671209.52   | 0.70%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                        | PROJ ALFA 3 TERM LOAN                                   | CUSIP: BA000RG42<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | US        |     431422 | PA      | $431421.61     | 0.03%             | 2026-10-21      | Floating      | 5.74%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-51649.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2619369.14    | 0.16%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C00836 FG 07/29 FIXED 7               | CUSIP: 31292G4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $100.48        | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                  | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1300000 | PA      | $724284.18     | 0.04%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                               | UNITED KINGDOM GILT BONDS REGS 07/54 4.375              | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    8134000 | PA      | $8964771.21    | 0.54%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV SR UNSECURED 144A 06/27 4.625      | CUSIP: 29278GAW8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    3452000 | PA      | $3459904.04    | 0.21%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                              | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1          | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     529633 | PA      | $483094.42     | 0.03%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                               | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4902750.52    | 0.29%             | 2035-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/44 3.125                             | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $1019535.15    | 0.06%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR          | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3271386.92    | 0.20%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 453268 FN 11/28 FIXED 6                       | CUSIP: 31380XQV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $141.97        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | 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        |   23608557 | PA      | $12571794.10   | 0.75%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                            | NEW YORK CITY NY HSG DEV CORP NYCMFH 05/27 FIXED 1.377  | CUSIP: 64972EUC1<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     200000 | PA      | $194782.18     | 0.01%             | 2027-05-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 2A4            | CUSIP: 12638PAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2282838 | PA      | $569332.46     | 0.03%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1323.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 03/18/26-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17474.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOLAR STAR FUNDING LLC                                            | SOLAR STAR FUNDING LLC SR SECURED 144A 06/35 5.375      | CUSIP: 83416WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4344048 | PA      | $4364924.65    | 0.26%             | 2035-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -582750 | PA      | $-583297.79    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02826 FG 05/37 FIXED 6               | CUSIP: 3128M4PK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62002 | PA      | $65146.73      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY UNLIMITED COMPANY                          | SMURFIT KAPPA TREASURY COMPANY GUAR 01/30 5.2           | CUSIP: 83272GAD3<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    4100000 | PA      | $4180561.84    | 0.25%             | 2030-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                    | SALESFORCE INC SR UNSECURED 03/28 4.5                   | CUSIP: 79466LAQ7<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1851114.29    | 0.11%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 11/41 0.00000                                    | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1700000 | PA      | $784808.42     | 0.05%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $609.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3188.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI7205 GN 08/45 FIXED 3.5                     | CUSIP: 36198UAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1770695 | PA      | $1660126.69    | 0.10%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                  | PROJECT CASHMERE CLASS A1 144A                          | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   28500000 | PA      | $19663580.29   | 1.18%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20270121                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $73418.21      | 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        |    2930361 | PA      | $2423696.69    | 0.15%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 09/54 2.1                   | CUSIP: ACI2RLJN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   47250000 | PA      | $215952.79     | 0.01%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221741 | PA      | $109616.51     | 0.01%             | 2036-12-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                                     | CLEARWAY ENERGY OP LLC COMPANY GUAR 144A 03/28 4.75     | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1974383.20    | 0.12%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1935                                                  | FREDDIE MAC FHR 1935 JZ                                 | CUSIP: 3133T8ZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4061 | PA      | $4066.13       | 0.00%             | 2027-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                | CONAGRA BRANDS INC SR UNSECURED 11/28 4.85              | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2102468.24    | 0.13%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5             | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6196 | PA      | $6313.78       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/44 3.625                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2200000 | PA      | $1869484.36    | 0.11%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FINANCING DAC                                    | SMURFIT WESTROCK FIN COMPANY GUAR 01/36 5.185           | CUSIP: 83272YAC6<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    2200000 | PA      | $2165767.12    | 0.13%             | 2036-01-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-23.07        | -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        |   12429540 | PA      | $8939587.43    | 0.54%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-362722.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.75000 12/20/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-21453.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA MUNICIPAL FINANCE AUTHORITY                            | CALIFORNIA ST MUNI FIN AUTH RE CASFIN 11/35 FIXED 2.877 | CUSIP: 13048VQC5<br>LEI: 5493000UQOV6R4ZWS346 | Long             | DBT              | MUN               | US        |    2100000 | PA      | $1742271.09    | 0.10%             | 2035-11-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/43 3.625                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5150000 | PA      | $4399830.09    | 0.26%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080578 G2 02/32 FLOATING VAR               | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47850 | PA      | $48392.61      | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                    | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/35 2.75      | CUSIP: ACI0C4L00<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    6400000 | PA      | $3702062.95    | 0.22%             | 2035-06-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/51 1.875                             | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4300000 | PA      | $2363488.29    | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $390.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0194 FN 01/39 FIXED 5.5                     | CUSIP: 31416VGC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32465 | PA      | $33511.48      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC SR UNSECURED 03/31 VAR                | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3300000 | PA      | $3338090.84    | 0.20%             | 2031-03-03      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO XIX LTD                                              | TRINITAS CLO LTD TRNTS 2022 19A A1R 144A                | CUSIP: 89642FAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    3477460 | PA      | $3477787.01    | 0.21%             | 2033-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                             | TORONTO DOMINION BANK SR UNSECURED 12/26 5.264          | CUSIP: 89115A2V3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    3800000 | PA      | $3826169.08    | 0.23%             | 2026-12-11      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080107 G2 08/27 FLOATING VAR               | CUSIP: 36225CDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        847 | PA      | $852.02        | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 829907 FN 07/35 FIXED 6                       | CUSIP: 31407GAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20511 | PA      | $21005.80      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $300.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1711.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                    | EUROPEAN INVESTMENT BANK SR UNSECURED 02/33 3.75        | CUSIP: 298785JV9<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    4000000 | PA      | $3907012.32    | 0.23%             | 2033-02-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD FINANCE INC                                            | BROOKFIELD FINANCE INC COMPANY GUAR 04/31 2.724         | CUSIP: 11271LAH5<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |   17900000 | PA      | $16241022.45   | 0.97%             | 2031-04-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6416 FN 05/53 FIXED 4                       | CUSIP: 3140QSDW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4716082 | PA      | $4467258.95    | 0.27%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0563 FN 11/30 FIXED 4                       | CUSIP: 31417YTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6326 | PA      | $6282.75       | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1185.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/29 2.472       | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $4746596.45    | 0.28%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2347.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 674952 FN 12/32 FIXED 5.5                     | CUSIP: 31391RZR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110048 | PA      | $112150.15     | 0.01%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                          | SNAM SPA SR UNSECURED 144A 05/30 5                      | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    3500000 | PA      | $3537375.87    | 0.21%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                              | NORINCHUKIN BANK SR UNSECURED 144A 10/29 5.094          | CUSIP: 656029AN5<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    3200000 | PA      | $3236506.14    | 0.19%             | 2029-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                           | BPCE SA 144A 10/29 VAR                                  | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    3800000 | PA      | $3975781.43    | 0.24%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.83600 05/02/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10572.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | VERIZON COMMUNICATIONS INC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $10264.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0534 FN 10/30 FIXED 4                       | CUSIP: 31417YSY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8966 | PA      | $8904.79       | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 03/30 5.25             | CUSIP: 842400JJ3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3047530.59    | 0.18%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-719.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-5681.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1.25         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-12376.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8200 FR 12/52 FIXED 4               | CUSIP: 3133KQDD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2981871 | PA      | $2822768.20    | 0.17%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2549.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $15046.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2025-1                                    | BMW VEHICLE LEASE TRUST BMWLT 2025 1 A3                 | CUSIP: 096912AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3200000 | PA      | $3211815.04    | 0.19%             | 2028-06-26      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                  | TENN VALLEY AUTHORITY SR UNSECURED 09/31 1.5            | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    7800000 | PA      | $6828992.74    | 0.41%             | 2031-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535126 FN 12/28 FIXED VAR                     | CUSIP: 31384VPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $190.22        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-5414.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716305 GN 06/39 FIXED 5                       | CUSIP: 3620A1YA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3026 | PA      | $3070.62       | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 974767 FN 04/38 FLOATING VAR                  | CUSIP: 31414SMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6073 | PA      | $6264.21       | 0.00%             | 2038-04-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG6247 G2 05/48 FIXED 4                    | CUSIP: 3617GQ5G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1924060 | PA      | $1814166.08    | 0.11%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AP MOLLER - MAERSK A/S                                            | AP MOLLER MAERSK A/S SR UNSECURED 144A 09/33 5.875      | CUSIP: 00203QAF4<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |    2914000 | PA      | $3047990.53    | 0.18%             | 2033-09-14      | Fixed         | 5.88%                 | 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        |    3358543 | PA      | $990307.75     | 0.06%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-947.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8520 FR 02/53 FIXED 4.5             | CUSIP: 3133KQPD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9293468 | PA      | $9008036.65    | 0.54%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $39579.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-6230.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-6527.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                                    | SALESFORCE INC SR UNSECURED 03/29 4.65                  | CUSIP: 79466LAR5<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    1850000 | PA      | $1854122.26    | 0.11%             | 2029-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04614 FG 02/34 FIXED 6               | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2857 | PA      | $2929.14       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-5231.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2699.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-146135.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT FUND                                        | LOW INCOME INVESTMENT UNSECURED 07/29 3.711             | CUSIP: 54750AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4158868.63    | 0.25%             | 2029-07-01      | Fixed         | 3.71%                 | 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        |    6600000 | PA      | $6516527.62    | 0.39%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB4806 FN 07/52 FIXED 3                       | CUSIP: 3140QQKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4623707 | PA      | $4073942.81    | 0.24%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725425 FN 04/34 FIXED VAR                     | CUSIP: 31402C4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7019 | PA      | $7164.77       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                               | UNITED KINGDOM GILT BONDS REGS 03/27 3.75               | CUSIP: BPSNB4II5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   15600000 | PA      | $20532124.44   | 1.23%             | 2027-03-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/42 3.25                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   70400000 | PA      | $58027749.82   | 3.48%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-13081.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $137.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 07/29 VAR              | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     317000 | PA      | $322957.74     | 0.02%             | 2029-07-24      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4719542 | PA      | $4558782.88    | 0.27%             | 2036-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256436 FN 10/36 FIXED 6                       | CUSIP: 31371MY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24691 | PA      | $25536.51      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-3433.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $18703.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3481.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 03/49 4.875            | CUSIP: 842400GR8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     450000 | PA      | $376532.86     | 0.02%             | 2049-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/47 2.75                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $212378.91     | 0.01%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                    | EUROPEAN INVESTMENT BANK SR UNSECURED 02/28 3.3         | CUSIP: ACI0WH721<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    3400000 | PA      | $2281930.20    | 0.14%             | 2028-02-03      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5015.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $43253.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745093 FN 12/35 FIXED VAR                     | CUSIP: 31403CXW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4676 | PA      | $4827.65       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1104125 | PA      | $-1106662.03   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| PATTERN ENERGY OPERATIONS LP / PATTERN ENERGY OPERATIONS INC      | PATTERN ENERGY OP LP/PAT COMPANY GUAR 144A 08/28 4.5    | CUSIP: 70339PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2931147.90    | 0.18%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8865 FN 02/35 FIXED VAR                     | CUSIP: 3140XQZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1918773 | PA      | $1855423.28    | 0.11%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD3919 G2 05/48 FIXED 4                    | CUSIP: 3617BKK83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1047056 | PA      | $988557.88     | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 10Y BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        255 | NC      | $-106347.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL FOUR CLO IV DAC 4A                                        | CAPITAL FOUR CLO CFOUR 4A ARR 144A                      | CUSIP: ACI38L038<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    6000000 | PA      | $6914078.95    | 0.41%             | 2038-04-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB5401 FN 12/52 FIXED 4.5                     | CUSIP: 3140QRAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10129272 | PA      | $9823425.87    | 0.59%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17             | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A     | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3200000 | PA      | $3191723.97    | 0.19%             | 2040-02-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91093 FG 09/27 FIXED 6               | CUSIP: 3128P7GA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.84         | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0135 FR 11/53 FIXED 4               | CUSIP: 3142GQEH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2922611 | PA      | $2760621.98    | 0.17%             | 2053-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-908.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUEHUB LOAN FUND INC                                             | BLUEHUB LOAN FUND SR UNSECURED 01/30 3.099              | CUSIP: 095623AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3141550.70    | 0.19%             | 2030-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| DC OFFICE TRUST 2019-MTC                                          | DC OFFICE TRUST DCOT 2019 MTC A 144A                    | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11900000 | PA      | $10745444.15   | 0.64%             | 2045-09-15      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 817777 FN 07/36 FIXED 6                       | CUSIP: 31406RQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.31         | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF3083 G2 07/48 FIXED 4                    | CUSIP: 3617G9M81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2459812 | PA      | $2319316.67    | 0.14%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-10306.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9046 FR 08/53 FIXED 4.5             | CUSIP: 3133KRBP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13017232 | PA      | $12599324.71   | 0.76%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SC03 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -3439000 | NC      | $-2819.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555531 FN 06/33 FIXED VAR                     | CUSIP: 31385XEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3386 | PA      | $3481.40       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JOHN D AND CATHERINE T MACARTHUR FOUNDATION                       | MACARTHUR FOUNDATION UNSECURED 12/30 1.299              | CUSIP: 477854AA1<br>LEI: UJ37UD5B4O5WRVV6NV96 | Long             | DBT              | CORP              | US        |   13400000 | PA      | $11569314.51   | 0.69%             | 2030-12-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 03/18/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-32826.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4KA7 PIMCO SWAPTION 3.29 CALL USD 2026072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -63100000 | NC      | $-63907.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP MYC                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $58034.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX SEN44 5Y ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $436366.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5662.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725613 FN 06/34 FIXED VAR                     | CUSIP: 31402DDS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6031 | PA      | $6142.66       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04624 FG 02/33 FIXED 6               | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        620 | PA      | $639.99        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBI5 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -3447500 | NC      | $-2754.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15943.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2103.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1511.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY UTILITIES FINANCE GP1                                     | LIBERTY UTILITIES FIN COMPANY GUAR 144A 09/30 2.05      | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13600000 | PA      | $12224790.58   | 0.73%             | 2030-09-15      | Fixed         | 2.05%                 | 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      | $-15689.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1200000 | NC      | $-5793.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO8051 FN 06/42 FIXED 4.5                     | CUSIP: 3138LY5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26371 | PA      | $26035.37      | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 10/29 VAR                   | CUSIP: ACI386262<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3350753.46    | 0.20%             | 2029-10-05      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                   | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  318000000 | PA      | $1388836.77    | 0.08%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/27 2.8    | CUSIP: 86563VBA6<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   13000000 | PA      | $12826054.15   | 0.77%             | 2027-03-10      | Fixed         | 2.80%                 | 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      | $15262.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 790746 FN 09/34 FIXED 5.5                     | CUSIP: 31405JP73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66065 | PA      | $67589.84      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1200000 | NC      | $-4543.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                         | INDYMAC ARM TRUST INARM 2001 H2 A2                      | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        137 | PA      | $133.29        | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     477719 | PA      | $186921.53     | 0.01%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/45 4.625                             | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2797593.75    | 0.17%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-7271.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-34601.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                | FANNIE MAE FNR 2007 14 F                                | CUSIP: 31396PZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5279 | PA      | $5223.06       | 0.00%             | 2037-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 05/30 VAR              | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1268152.93    | 0.08%             | 2030-05-06      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -306 | NC      | $819838.26     | 0.05%             |  |  |  | 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      | $-207151.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2000000 | PA      | $-1829538.04   | -0.11%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1712.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                 | PIEDMONT OPERATING PARTN COMPANY GUAR 08/30 3.15        | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2429451.12    | 0.15%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A62706 FG 06/37 FIXED 6               | CUSIP: 3128KTAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1916 | PA      | $1989.20       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6653.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0520 FN 07/41 FIXED VAR                     | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     710113 | PA      | $730174.73     | 0.04%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $12261.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIGITAL DUTCH FINCO BV                                            | DIGITAL DUTCH FINCO BV COMPANY GUAR REGS 03/30 1.5      | CUSIP: BKMG43II7<br>LEI: 549300ONZ5IS6B6IMJ70 | Long             | DBT              | CORP              | NL        |    4300000 | PA      | $4554696.09    | 0.27%             | 2030-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0142 FN 08/29 FIXED 4                       | CUSIP: 31417YEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $232.54        | 0.00%             | 2029-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                              | NORINCHUKIN BANK SR UNSECURED 144A 03/28 5.43           | CUSIP: 656029AL9<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    4400000 | PA      | $4469220.58    | 0.27%             | 2028-03-09      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8403 FR 02/54 FIXED 6.5             | CUSIP: 3132DWKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176056 | PA      | $182136.50     | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MOSAIC SOLAR LOAN TRUST 2023-3A                                   | MOSAIC SOLAR LOANS LLC MSAIC 2023 3A A 144A             | CUSIP: 618933AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1291895 | PA      | $1255654.38    | 0.08%             | 2053-11-20      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 01/29 5.375           | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     500000 | PA      | $496000.00     | 0.03%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO CIBC                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -16397625 | PA      | $-16433781.76  | -0.99%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986946 FN 09/38 FIXED 6                       | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        206 | PA      | $213.60        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $32718.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $679.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $46792.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-38                                         | FANNIE MAE FNR 2015 38 DF                               | CUSIP: 3136APAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     369172 | PA      | $365290.33     | 0.02%             | 2055-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 895082 FN 08/36 FIXED 6                       | CUSIP: 31410RM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        842 | PA      | $861.33        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                                | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 03/28 5.5    | CUSIP: 86563VBH1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    3600000 | PA      | $3675071.88    | 0.22%             | 2028-03-09      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 09/30 4.45                     | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4048530.57    | 0.24%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CORPORACION INMOBILIARIA VESTA SAB DE CV                          | CORPORACION INMOBILIARIA COMPANY GUAR 144A 05/31 3.625  | CUSIP: 21989DAA0<br>LEI: 4469000001BIRIFZJ959 | Long             | DBT              | CORP              | MX        |   10000000 | PA      | $9041061.00    | 0.54%             | 2031-05-13      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.00000 09/16/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $350236.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784544 GN 09/47 FIXED 3.5                     | CUSIP: 3622A3BM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2528957 | PA      | $2381631.45    | 0.14%             | 2047-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1313.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                           | HARVEST CLO HARVT 16A AR3 144A                          | CUSIP: ACI354S05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    6930000 | PA      | $8004842.71    | 0.48%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97582 | PA      | $100774.67     | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 897160 FN 09/36 FIXED 6                       | CUSIP: 31410TWV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23360 | PA      | $24233.29      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG02 | FHLMC MULTIFAMILY STRUCTURED P FHMS KG02 X1             | CUSIP: 3137FPHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23965631 | PA      | $608779.76     | 0.04%             | 2029-08-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                     | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6850000 | PA      | $6833731.25    | 0.41%             | 2043-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2898310 | PA      | $2901312.27    | 0.17%             | 2037-02-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-10                                           | LEHMAN XS TRUST LXS 2005 10 2A4A                        | CUSIP: 525221GC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2214781 | PA      | $1977315.85    | 0.12%             | 2036-01-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/50 1.625                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26500000 | PA      | $13831757.68   | 0.83%             | 2050-11-15      | Fixed         | 1.62%                 | 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        |    5818770 | PA      | $3297963.22    | 0.20%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO NOMURA                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8130859 | PA      | $-8165676.89   | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-44957.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555668 FN 07/33 FIXED VAR                     | CUSIP: 31385XJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9832 | PA      | $9888.64       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $205.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP2                                | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP2 1AF1 144A      | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     804452 | PA      | $694126.41     | 0.04%             | 2036-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $106596.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 AF          | CUSIP: 38376RYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     813574 | PA      | $816632.04     | 0.05%             | 2066-09-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3513.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX3359 G2 07/48 FIXED 4                    | CUSIP: 36196EWU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1302399 | PA      | $1229623.73    | 0.07%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04625 FG 06/36 FIXED 6               | CUSIP: 3128M6PJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16871 | PA      | $17268.81      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-2A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 2A A 144A        | CUSIP: 42806MBW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $3068298.30    | 0.18%             | 2029-09-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                 | KOREA HOUSING FINANCE CO SR UNSECURED 144A 02/28 4.625  | CUSIP: 50065RAK3<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |    5000000 | PA      | $5050040.90    | 0.30%             | 2028-02-24      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3179.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    9400000 | PA      | $9400000.00    | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                   | PROJECT NOVA TERM LOAN                                  | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     400000 | PA      | $400000.00     | 0.02%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $311794.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0620 G2 09/55 FIXED 4                    | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     395360 | PA      | $370745.80     | 0.02%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                            | PROJECT FENNO EUR DELAYED DRAW TERM LOAN A              | CUSIP: BA000MLQ8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     549646 | PA      | $639113.58     | 0.04%             | 2028-07-10      | Floating      | 4.48%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                               | 317UC50A6 PIMCO SWAPTION 2.54 CALL EUR 2026041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-122.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                               | EUROPEAN UNION SR UNSECURED REGS 10/29 2.875            | CUSIP: ACI2Q0PD7<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |    6500000 | PA      | $7512616.97    | 0.45%             | 2029-10-05      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $10067.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                          | LLOYDS BANKING GROUP PLC SR UNSECURED 02/30 VAR         | CUSIP: 53944YBG7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3364201.71    | 0.20%             | 2030-02-10      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0490 FN 08/37 FIXED VAR                     | CUSIP: 31418MRL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6795 | PA      | $6955.90       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4035000 | PA      | $4048383.49    | 0.24%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX EUROPE 2 FINANCING CORPORATION LLC                        | EQUINIX EU 2 FINANCING C COMPANY GUAR 11/30 4.6         | CUSIP: 29390XAG9<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2081346.29    | 0.12%             | 2030-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   17300000 | PA      | $17800496.79   | 1.07%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                            | NXP BV/NXP FDG/NXP USA COMPANY GUAR 01/33 5             | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    5000000 | PA      | $4978107.65    | 0.30%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 917138 FN 06/37 FIXED 6                       | CUSIP: 31411W4X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        253 | PA      | $264.80        | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 11.4071 07/09/24-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-945090.58    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-10520.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $230113.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12500000 | PA      | $9221191.38    | 0.55%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-5055.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP              | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP A 144A   | CUSIP: 50085PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5800000 | PA      | $4576716.20    | 0.27%             | 2044-11-05      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-294293.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9748 | PA      | $9932.13       | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| MML DORCHESTER SCSP                                               | PROJECT DORCHESTER EUR TERM LOAN                        | CUSIP: BA000T4M1<br>LEI: 213800PP3CKB6OTAPQ90 | Long             | LON              | CORP              | US        |     700000 | PA      | $809095.15     | 0.05%             | 2027-01-04      | Floating      | 4.61%                 | Yes           |                  3 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                         | DUKE ENERGY CAROLINAS 1ST MORTGAGE 11/28 3.95           | CUSIP: 26442CAX2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3969476.56    | 0.24%             | 2028-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2499.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                      | ROMANIA ROMANIA                                         | CUSIP: ACI2MY5W7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    4000000 | PA      | $4441978.63    | 0.27%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $9677.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 794277 FN 09/34 FIXED 5.5                     | CUSIP: 31405NM28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99991 | PA      | $100564.96     | 0.01%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $19332349.14   | 1.16%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-11209.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                               | EUROPEAN UNION SR UNSECURED REGS 02/37 0.4              | CUSIP: ACI212XM1<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   10500000 | PA      | $8791197.10    | 0.53%             | 2037-02-04      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 894881 FN 09/36 FIXED 6                       | CUSIP: 31410RFW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19507 | PA      | $19992.31      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $241.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $15.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $321413.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG / STAMFORD BRANCH                                          | UBS AG STAMFORD CT SR UNSECURED 03/29 VAR               | CUSIP: 90261AAG7<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    3400000 | PA      | $3396347.69    | 0.20%             | 2029-03-16      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783677 GN 09/40 FIXED 5                       | CUSIP: 3622A2CN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40058 | PA      | $40881.23      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -28013625 | PA      | $-28172042.05  | -1.69%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2423092.92    | 0.15%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                    | EUROPEAN INVESTMENT BANK SR UNSECURED 10/29 1.625       | CUSIP: 298785JA5<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    5650000 | PA      | $5241318.55    | 0.31%             | 2029-10-09      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H12 FB          | CUSIP: 38376RBH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134309 | PA      | $134424.23     | 0.01%             | 2065-05-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/55 4.625                             | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7200000 | PA      | $6880500.00    | 0.41%             | 2055-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/42 2.375                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21900000 | PA      | $15967324.16   | 0.96%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0915 FN 12/38 FIXED VAR                     | CUSIP: 31418NAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12335 | PA      | $12683.78      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.75000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1855065.33   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7220 FN 09/53 FIXED 5.5                     | CUSIP: 3140QTAW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     396781 | PA      | $399656.15     | 0.02%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4693.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A16224 FG 11/33 FIXED 6               | CUSIP: 31296Q4H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        303 | PA      | $309.03        | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 679639 G2 06/48 FIXED 4                    | CUSIP: 36295TBG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     441155 | PA      | $419201.67     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 780895 FN 05/34 FIXED 5.5                     | CUSIP: 31404WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3684 | PA      | $3722.49       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA2970 FR 07/50 FIXED 2.5             | CUSIP: 3133KJJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6798868 | PA      | $5788204.42    | 0.35%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0241 FN 08/47 FIXED 4                       | CUSIP: 3140Q7HT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1505223 | PA      | $1438707.86    | 0.09%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15350 | PA      | $14719.14      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 656245 FN 09/32 FIXED 6                       | CUSIP: 31390UBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        457 | PA      | $465.97        | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-154729.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545993 FN 11/32 FIXED VAR                     | CUSIP: 31385JRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $410.46        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53208 FG 12/47 FIXED 3.5             | CUSIP: 3132XVR62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4764753 | PA      | $4465500.03    | 0.27%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725706 FN 08/32 FIXED VAR                     | CUSIP: 31402DGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        642 | PA      | $641.44        | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2238750 | PA      | $-2243426.50   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                              | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10730000 | PA      | $10544320.57   | 0.63%             | 2039-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                      | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                  | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4700766.34    | 0.28%             | 2034-07-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $14.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC51A5 PIMCO SWAPTION 3.28 CALL USD 2026072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -75000000 | NC      | $-79342.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4OA3 PIMCO SWAPTION 3.25 CALL USD 2026071          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -60700000 | NC      | $-53027.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01N040645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $938607.45     | 0.06%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782468 GN 11/38 FIXED 5                       | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107618 | PA      | $109922.25     | 0.01%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST 2021-OVA                                         | SLG OFFICE TRUST SLG 2021 OVA X 144A                    | CUSIP: 78449RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  156136500 | PA      | $1686508.40    | 0.10%             | 2041-07-15      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03926 FG 02/38 FIXED 6               | CUSIP: 3128M5VT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        939 | PA      | $986.92        | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 893923 FN 10/36 FIXED 6                       | CUSIP: 31410QD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5994 | PA      | $6217.74       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91236 FG 02/29 FIXED 4.5             | CUSIP: 3128P7LR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30414 | PA      | $30471.32      | 0.00%             | 2029-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $10235.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB          | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     442634 | PA      | $448244.25     | 0.03%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $688.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-22.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0138 FR 12/53 FIXED 5.5             | CUSIP: 3142GQEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10822200 | PA      | $10895658.45   | 0.65%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                        | VERIZON COMMUNICATIONS SR UNSECURED 09/41 2.85          | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $4083325.51    | 0.24%             | 2041-09-03      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4658.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20270104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $31432.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 932024 FN 01/36 FIXED 5.5                     | CUSIP: 31412QPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5736 | PA      | $5921.88       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-9.22         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $20545.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-12317.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $87564.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                             | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C            | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     451393 | PA      | $402816.23     | 0.02%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13211 | PA      | $13241.02      | 0.00%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-4123.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6939.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G61409 FG 05/48 FIXED 3.5             | CUSIP: 31335BR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7343157 | PA      | $6842503.24    | 0.41%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-2057.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C01754 FG 01/34 FIXED 5.5             | CUSIP: 31292H5P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4908 | PA      | $5024.50       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $12667.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                   | CIGNA GROUP/THE SR UNSECURED 09/30 4.5                  | CUSIP: 125523CX6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2492225.58    | 0.15%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEDERLANDSE WATERSCHAPSBANK NV (NWB BANK)                         | NEDER WATERSCHAPSBANK SR UNSECURED 144A 06/28 4         | CUSIP: 63983TEH4<br>LEI: JLP5FSPH9WPSHY3NIM24 | Long             | DBT              | NUSS              | NL        |    3400000 | PA      | $3407622.53    | 0.20%             | 2028-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 790907 FN 09/34 FIXED 5.5                     | CUSIP: 31405JU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35548 | PA      | $35741.89      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91291 FG 03/30 FIXED 4.5             | CUSIP: 3128P7NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3776 | PA      | $3795.94       | 0.00%             | 2030-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-7302.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6389.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                  | KILROY REALTY LP COMPANY GUAR 11/33 2.65                | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $6286423.18    | 0.38%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -22 | NC      | $-2927.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03931 FG 02/38 FIXED 6               | CUSIP: 3128M5VY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37030 | PA      | $38994.95      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $158254.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | LONG GILT FUTURE  JUN26 IFLL 20260626                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        283 | NC      | $-1644410.85   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/47 0.875                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3772272 | PA      | $2678435.95    | 0.16%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                            | NEW YORK CITY NY HSG DEV CORP NYCMFH 05/28 FIXED 1.577  | CUSIP: 64972EUE7<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     500000 | PA      | $476238.35     | 0.03%             | 2028-05-01      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003202 G2 02/32 FIXED 7                    | CUSIP: 36202DRX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1375 | PA      | $1416.86       | 0.00%             | 2032-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 ISSUER LTD                                       | GS REFT 2026 FL1 ISSUER LTD GSREFT 2026 FL1 A 144A      | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1203000.00    | 0.07%             | 2043-04-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                                | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                 | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2068 | PA      | $2033.17       | 0.00%             | 2032-08-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA ENDOWMENT/THE                                          | CALIFORNIA ENDOWMENT/THE UNSECURED 04/51 2.498          | CUSIP: 1301ETAA0<br>LEI: 54930046FICHFANLFV69 | Long             | DBT              | CORP              | US        |    6900000 | PA      | $4084063.43    | 0.24%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HESTIA I ISSUER LLC 2023-GRID1                            | SUNNOVA HESTIA I ISSUER, LLC SNVA 2023 GRID1 1A 144A    | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | MUN               | US        |     300531 | PA      | $294457.42     | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC SR UNSECURED 03/30 VAR                | CUSIP: 404280FK0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3000000 | PA      | $2978355.99    | 0.18%             | 2030-03-10      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1123.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                              | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     503086 | PA      | $503916.85     | 0.03%             | 2047-12-26      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-8199.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-746.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 3A10             | CUSIP: 46628YBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1976422 | PA      | $602331.99     | 0.04%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 09/28 4.55   | CUSIP: 928668CW0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4090391.61    | 0.25%             | 2028-09-11      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER AND LIGHT COMPANY                                | INTERSTATE POWER + LIGHT SR UNSECURED 09/28 4.1         | CUSIP: 461070AP9<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4270369.90    | 0.26%             | 2028-09-26      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 06/17/26-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $213363.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745516 FN 05/36 FIXED VAR                     | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6388 | PA      | $6595.43       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-20432.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA3437 FN 04/34 FIXED 3                       | CUSIP: 3140QAZB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1320492 | PA      | $1274083.87    | 0.08%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -4700000 | NC      | $-3819.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357628 FN 10/34 FIXED 5.5                     | CUSIP: 31376KHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12844 | PA      | $13156.51      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SIK3 PIMCO CDSOPT PUT USD 0.8 20260617             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -8000000 | NC      | $-10902.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV COMPANY GUAR 144A 06/32 5          | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    1600000 | PA      | $1599417.20    | 0.10%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6832 FN 07/53 FIXED 5                       | CUSIP: 3140QSSW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11153742 | PA      | $11051913.87   | 0.66%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 08/42 0.00000                                    | CUSIP: 912834LR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $1279351.62    | 0.08%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-5161.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-3278.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/54 2.125                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5086368 | PA      | $4489551.33    | 0.27%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTIONS TRUST 2021-3CS                | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2021 3CS A 144A     | CUSIP: 382371AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6957400 | PA      | $5403891.28    | 0.32%             | 2048-05-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/49 3                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9200000 | PA      | $6722109.35    | 0.40%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2484.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1510.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-125.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -369 | NC      | $1551240.20    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAPITAL COMPANY GUAR 06/28 1.9           | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $7682501.30    | 0.46%             | 2028-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| RENEW PRIVATE LIMITED                                             | RENEW POWER PVT LTD SR SECURED 144A 03/27 5.875         | CUSIP: 75975AAA8<br>LEI: 335800BITJZHVZ1CN475 | Long             | DBT              | CORP              | IN        |    3754000 | PA      | $3716403.28    | 0.22%             | 2027-03-05      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0728 FN 09/39 FIXED VAR                     | CUSIP: 31419AY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133671 | PA      | $140305.84     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889982 FN 11/38 FIXED VAR                     | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3352 | PA      | $3452.90       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 614517 GN 06/33 FIXED 5                       | CUSIP: 36290QVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1834 | PA      | $1841.53       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65             | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83952.21      | 0.01%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CTP NV                                                            | CTP NV SR UNSECURED REGS 09/26 0.625                    | CUSIP: ACI20LM91<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |    6500000 | PA      | $7427476.65    | 0.45%             | 2026-09-27      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13700000 | PA      | $13209339.30   | 0.79%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4447000 | PA      | $4166344.05    | 0.25%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1554750 | PA      | $-1560122.96   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 748939 G2 09/40 FIXED 4                    | CUSIP: 3620C5BG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15408 | PA      | $14685.73      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1       | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365951 | PA      | $332610.17     | 0.02%             | 2036-01-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.50000 09/16/26-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $119869.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC52A4 PIMCO SWAPTION 3.5 CALL USD 20260727          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   75000000 | NC      | $120195.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745418 FN 04/36 FIXED VAR                     | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44817 | PA      | $46273.10      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3963.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7690.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647668 GN 04/37 FIXED 6                       | CUSIP: 36292FQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26433 | PA      | $27803.32      | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C            | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2366504 | PA      | $1087802.07    | 0.07%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $5415.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 437434 FN 09/28 FIXED 6                       | CUSIP: 31380D4T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $150.64        | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-6467.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 7 LTD                                             | CROWN POINT CLO 7, LTD CRNPT 2018 7A AR 144A            | CUSIP: 22846MAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     155234 | PA      | $155234.23     | 0.01%             | 2031-10-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 01/32 VAR              | CUSIP: 46647PFG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3352735.99    | 0.20%             | 2032-01-22      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-370.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-39688.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260720                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $35506.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2926125 | PA      | $-2931931.73   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/55 4.75                              | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18341000 | PA      | $17876743.44   | 1.07%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                           | DUKE ENERGY FLORIDA LLC 1ST MORTGAGE 12/29 2.5          | CUSIP: 26444HAH4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4594191.25    | 0.28%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $251543.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $64643.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5886.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 893040 FN 11/36 FIXED 6                       | CUSIP: 31410PEM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11452 | PA      | $11896.91      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $1541777.35    | 0.09%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -2373326 | NC      | $-2095.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $186939.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HANNON ARMSTRONG (HAT HOLDINGS I LLC / HAT HOLDINGS II LLC)       | HAT HOLDINGS I LLC/HAT COMPANY GUAR 144A 09/30 3.75     | CUSIP: 418751AD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     675000 | PA      | $621634.61     | 0.04%             | 2030-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-107196.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LOANPAL SOLAR LOAN 2021-2GS LTD                                   | LOANPAL SOLAR LOAN LTD. LPSLT 2021 2GS A 144A           | CUSIP: 53948QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8826519 | PA      | $6972038.59    | 0.42%             | 2048-03-20      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTICLASS CERTIFICATES SERIES 2020-P003              | FREDDIE MAC MULTICLASS CERTIFI FHMR 2020 P003 A1        | CUSIP: 3137FWHY9<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     761607 | PA      | $693170.40     | 0.04%             | 2031-02-25      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| SERVICE EXPERTS ISSUER 2021-1A LLC                                | SERVICE EXPERTS ISSUER SE 2021 1A A 144A                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1424149 | PA      | $1401350.44    | 0.08%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 02/41 0.00000                                    | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $193068.51     | 0.01%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MB0293 FN 12/54 FIXED 6                       | CUSIP: 3138MTKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21634277 | PA      | $22111276.72   | 1.33%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91302 FG 05/30 FIXED 4.5             | CUSIP: 3128P7NT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31237 | PA      | $31315.03      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0050 FR 10/53 FIXED 5.5             | CUSIP: 3142GQBU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12283149 | PA      | $12369339.53   | 0.74%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 814915 FN 03/35 FIXED 5.5                     | CUSIP: 31406NK45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2707 | PA      | $2794.66       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2786 FN 01/52 FIXED 3                       | CUSIP: 3140QNCY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15604556 | PA      | $13764993.58   | 0.83%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.65517 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $131459.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888434 FN 11/35 FIXED VAR                     | CUSIP: 31410GBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $331.00        | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $24266.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6780.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $7988.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     137253 | PA      | $101911.37     | 0.01%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FE          | CUSIP: 38376R5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700944 | PA      | $710413.53     | 0.04%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735805 FN 07/35 FLOATING VAR                  | CUSIP: 31402RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23169 | PA      | $23505.04      | 0.00%             | 2035-07-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC53A3 PIMCO SWAPTION 3.06 CALL USD 2026072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -75000000 | NC      | $-52500.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/52 0.125                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1518738 | PA      | $789390.40     | 0.05%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-10447.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4431.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.77500 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15866.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6395 FN 02/53 FIXED 5                       | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1947284 | PA      | $1930850.37    | 0.12%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2300000 | PA      | $2300739.59    | 0.14%             | 2035-01-20      | Floating      | 4.77%                 | 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      | $-2336.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                          | SCE RECOVERY FUNDING LLC SR SECURED 06/42 4.697         | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1934617 | PA      | $1869099.72    | 0.11%             | 2042-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK LTD                                              | NORINCHUKIN BANK SR UNSECURED 144A 09/31 2.08           | CUSIP: 656029AH8<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    2900000 | PA      | $2509826.08    | 0.15%             | 2031-09-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/31 2.5        | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $444279.39     | 0.03%             | 2031-07-12      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17748.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H14 FG          | CUSIP: 38376R4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1270291 | PA      | $1287633.42    | 0.08%             | 2067-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7123.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A11312 FG 07/33 FIXED 6               | CUSIP: 31296KN58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3204 | PA      | $3271.99       | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A57029 FG 01/37 FIXED 6               | CUSIP: 3128KKY29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14721 | PA      | $15345.72      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                         | HA SUSTAINABLE INF CAP COMPANY GUAR 01/31 6.15          | CUSIP: 40408AAA9<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3260832.74    | 0.20%             | 2031-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MATHER FOUNDATION                                                 | MATHER FOUNDATION UNSECURED 10/31 2.675                 | CUSIP: 576722AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9600000 | PA      | $8573768.74    | 0.51%             | 2031-10-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                               | CENTENE CORP SR UNSECURED 10/30 3                       | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2455458.04    | 0.15%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $557.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758322 FN 12/33 FIXED 5.5                     | CUSIP: 31403UPF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6943 | PA      | $6982.27       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                              | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A3           | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7440142 | PA      | $2422153.73    | 0.15%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| AMEREN MISSOURI SECURITIZATION FUNDING I LLC                      | AMEREN MISSOURI SEC FU I SR SECURED 10/41 4.85          | CUSIP: 023940AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4721088 | PA      | $4714437.21    | 0.28%             | 2041-10-01      | Fixed         | 4.85%                 | 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      | $-21385.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-1374.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260717                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $66336.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO THE BANK OF NOVA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -171791590 | PA      | $-172259340.32 | -10.33%           |  |  |  | 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        |    7700000 | PA      | $7343875.00    | 0.44%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3036 FR 12/54 FIXED 5.5             | CUSIP: 3142GTLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1137254 | PA      | $1143613.24    | 0.07%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2859.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1         | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637727 | PA      | $600183.56     | 0.04%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8222.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4246.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-11563.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 932626 FN 03/40 FIXED 5                       | CUSIP: 31412RD79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10395 | PA      | $10511.28      | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04576 FG 09/38 FIXED 6               | CUSIP: 3128M6MZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25539 | PA      | $26824.73      | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2430.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN44 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $103912.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H13                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H13 FT          | CUSIP: 38376RUS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3521 | PA      | $3522.88       | 0.00%             | 2066-05-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB8271 FN 04/54 FIXED 5                       | CUSIP: 3140QUFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13987456 | PA      | $13829576.96   | 0.83%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832446 FN 08/35 FLOATING VAR                  | CUSIP: 31407JZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43022 | PA      | $43966.16      | 0.00%             | 2035-08-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                    | EUROPEAN INVESTMENT BANK SR UNSECURED 05/27 2.375       | CUSIP: 298785HM1<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |   10000000 | PA      | $9842013.70    | 0.59%             | 2027-05-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM1355 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     803498 | PA      | $747846.22     | 0.04%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-6342.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/0.90000 03/15/22-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $1388709.35    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                       | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 10/32 5.05          | CUSIP: 694308KY2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3280047.11    | 0.20%             | 2032-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3347.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12413 | PA      | $13028.74      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO 2016-1 LLC                                      | MOUNTAIN VIEW CLO MVEW 2016 1A AR3 144A                 | CUSIP: 62432FAV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4800000 | PA      | $4795527.12    | 0.29%             | 2033-04-14      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/50 2                                 | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20000000 | PA      | $11648437.60   | 0.70%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 784039 FN 07/34 FLOATING VAR                  | CUSIP: 31405BBG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        397 | PA      | $404.51        | 0.00%             | 2034-07-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-11420.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4MA5 PIMCO SWAPTION 3.08 CALL USD 2026072          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -63100000 | NC      | $-42504.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 2 JUMBOS                              | CUSIP: 21H020659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4400000 | PA      | $3633609.36    | 0.22%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03392 FG 10/37 FIXED 6               | CUSIP: 3128M5C57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40928 | PA      | $43003.96      | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4NA4 PIMCO SWAPTION 3.5 CALL USD 20260713          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   60700000 | NC      | $87857.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LOW INCOME INVESTMENT FUND                                        | LOW INCOME INVESTMENT UNSECURED 07/26 3.386             | CUSIP: 54750AAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1695127.22    | 0.10%             | 2026-07-01      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                          | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   44605208 | PA      | $2035808.45    | 0.12%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/45 2.5                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1900000 | PA      | $1333042.96    | 0.08%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                 | EVERSOURCE ENERGY SR UNSECURED 12/30 4.45               | CUSIP: 30040WBB3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3355114.90    | 0.20%             | 2030-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                            | PIKES PEAK CLO PIPK 2019 4A ARR 144A                    | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4906560.56    | 0.29%             | 2034-07-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-614.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                           | FREDDIE MAC FHR 3376 FD                                 | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3564 | PA      | $3571.12       | 0.00%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1874085.94   | -0.11%            | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $9098.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BP1523 G2 08/49 FIXED 3.5                  | CUSIP: 3617L7VQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2238264 | PA      | $2074863.01    | 0.12%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 484203 FN 02/29 FIXED 6                       | CUSIP: 31382J3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1451 | PA      | $1479.74       | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-6038.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7012.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WABTEC TRANSPORTATION NETHERLANDS BV                              | WABTEC TRANSPORTATION COMPANY GUAR 12/27 1.25           | CUSIP: ACI1Y2G20<br>LEI: 213800W8WKL7DR8NFE48 | Long             | DBT              | CORP              | NL        |    1900000 | PA      | $2124260.70    | 0.13%             | 2027-12-03      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                              | BOSTON PROPERTIES LP SR UNSECURED 04/32 2.55            | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $944400.30     | 0.06%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/51 2.375                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4100000 | PA      | $2565943.34    | 0.15%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO JPM CHASE                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8600625 | PA      | $-8607830.41   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $468703.24     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $241523.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $9318.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5232.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6378.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $43.27         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3       | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     366282 | PA      | $333284.22     | 0.02%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888757 FN 09/37 FLOATING VAR                  | CUSIP: 31410GME0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4287 | PA      | $4430.99       | 0.00%             | 2037-09-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $5928.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900134 FN 09/36 FIXED 6                       | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.76         | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                       | CANADIAN GOVERNMENT BONDS 12/34 3.25                    | CUSIP: 135087S21<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    2258000 | PA      | $1606460.83    | 0.10%             | 2034-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-5845.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-2553.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/49 1                                 | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1421640 | PA      | $1007471.63    | 0.06%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-241460.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                      | WP CAREY INC SR UNSECURED 02/32 2.45                    | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    7600000 | PA      | $6621534.35    | 0.40%             | 2032-02-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6417 FN 05/53 FIXED 4.5                     | CUSIP: 3140QSDX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9714919 | PA      | $9417552.12    | 0.56%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2115.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-360.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-42742.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $607179.02     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/43 3.875                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8200000 | PA      | $7270132.79    | 0.44%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL BDC INC                                             | GOLUB CAPITAL BDC SR UNSECURED 12/28 7.05               | CUSIP: 38173MAD4<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3992125.72    | 0.24%             | 2028-12-05      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/51 3.65             | CUSIP: 842400HF3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1303808.08    | 0.08%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $85.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                | FANNIE MAE FNR 2007 73 A1                               | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60893 | PA      | $59794.30      | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 992944 FN 12/38 FIXED 5.5                     | CUSIP: 31415YBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15359 | PA      | $15510.27      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-48578.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     990164 | PA      | $730275.78     | 0.04%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                        | MONDELEZ INTERNATIONAL SR UNSECURED 07/31 4.625         | CUSIP: 609207BD6<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $3700196.39    | 0.22%             | 2031-07-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $72899.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PAYMENTS INC SR UNSECURED 03/28 4.55             | CUSIP: 37940XBA9<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2589510.95    | 0.16%             | 2028-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-3726.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7218 FN 10/53 FIXED 5                       | CUSIP: 3140QTAU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12055534 | PA      | $11945472.72   | 0.72%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.41000 11/05/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-52207.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 02/40 0.00000                                    | CUSIP: 912834FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1400000 | PA      | $718492.70     | 0.04%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $9303854.31    | 0.56%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-5017.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A      | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2522647 | PA      | $2547585.04    | 0.15%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB4615 FN 07/52 FIXED 4.5                     | CUSIP: 3140QQDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     567246 | PA      | $550145.69     | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $144970.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8400000 | PA      | $8108016.34    | 0.49%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                           | BCAP LLC TRUST BCAP 2011 RR5 12A1 144A                  | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27240 | PA      | $27169.54      | 0.00%             | 2037-03-26      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                       | PROLOGIS LP SR UNSECURED 02/33 4.2                      | CUSIP: 74340XCP4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $3296398.22    | 0.20%             | 2033-02-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $21064.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $394552.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5204.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8481 FR 07/53 FIXED 4.5             | CUSIP: 3133KQM60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17943468 | PA      | $17362784.28   | 1.04%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 935533 FN 08/39 FIXED 4.5                     | CUSIP: 31412UY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5420 | PA      | $5366.79       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 02/32 VAR             | CUSIP: 060505GQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3358170.68    | 0.20%             | 2032-02-06      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX6672 FN 02/53 FIXED 5                       | CUSIP: 3140NBMW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     383473 | PA      | $380938.85     | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-42534.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 38 WF           | CUSIP: 38380V2S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     742914 | PA      | $719970.43     | 0.04%             | 2043-10-20      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 06/55 2.8                   | CUSIP: ACI2YH5D3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  440000000 | PA      | $2349531.52    | 0.14%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0639 FR 01/54 FIXED 5.5             | CUSIP: 3142GQV90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8117578 | PA      | $8167096.94    | 0.49%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $684.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5674.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KSJ1       | FHLMC MULTIFAMILY STRUCTURED P FHMS KSG1 X1             | CUSIP: 3137FXLY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59419306 | PA      | $2357443.15    | 0.14%             | 2030-09-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25801000 | PA      | $26262391.03   | 1.57%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 03/30 5.05         | CUSIP: 05565ECY9<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3236603.68    | 0.19%             | 2030-03-21      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-42                                                | FANNIE MAE FNR 2007 42 AF                               | CUSIP: 31396VN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2052 | PA      | $2023.75       | 0.00%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03581 FG 11/37 FIXED 6               | CUSIP: 3128M5J27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64862 | PA      | $68151.86      | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                  | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 2A1                | CUSIP: 362290AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     845509 | PA      | $443708.59     | 0.03%             | 2047-03-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B0797 FH 04/33 FLOATING VAR          | CUSIP: 31336SNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        224 | PA      | $227.85        | 0.00%             | 2033-04-01      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                               | DOLP TRUST DOLP 2021 NYC A 144A                         | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $7726049.08    | 0.46%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55100 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27596.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                  | MORGAN STANLEY PVT BANK SR UNSECURED 02/30 VAR          | CUSIP: 61776NU43<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3366028.29    | 0.20%             | 2030-02-08      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $929494.64     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-827.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                     | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3212691 | PA      | $3215809.72    | 0.19%             | 2033-04-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6207.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  740000000 | PA      | $3873850.23    | 0.23%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                            | PROJECT FENNO EUR REVOLVER                              | CUSIP: BA000MLP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     286274 | PA      | $332871.65     | 0.02%             | 2028-07-10      | Floating      | 0.99%                 | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91370 FG 05/31 FIXED 4.5             | CUSIP: 3128P7QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2420 | PA      | $2429.07       | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1113.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2449                                                  | FREDDIE MAC FHR 2449 ZA                                 | CUSIP: 31392KS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     266430 | PA      | $271843.14     | 0.02%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813110 FN 02/35 FIXED 5.5                     | CUSIP: 31406LKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138017 | PA      | $141938.99     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-9537.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6040000 | PA      | $5970337.06    | 0.36%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $4096.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB5400 FN 12/52 FIXED 4                       | CUSIP: 3140QRAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2840903 | PA      | $2694112.27    | 0.16%             | 2052-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 02/42 0.00000                                    | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2300000 | PA      | $1046080.87    | 0.06%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                   | COSTA RICA GOVERNMENT BONDS 144A 01/36 6.001            | CUSIP: ACI3859N0<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    1500000 | PA      | $1786759.50    | 0.11%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS VIII ISSUER 2022-A                                 | SUNNOVA HELIOS VIII ISSUER, LL SNVA 2022 A A 144A       | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10799204 | PA      | $9068597.02    | 0.54%             | 2049-02-22      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $8577.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21465.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/48 3.125                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3400000 | PA      | $2559695.30    | 0.15%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1079.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $13165.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNRUN DEMETER ISSUER 2021-2A                                     | SUNRUN DEMETER ISSUER LLC SUNRN 2021 2A A 144A          | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5284366 | PA      | $4803456.13    | 0.29%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3661.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $154494.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C03475 FG 04/40 FIXED 6               | CUSIP: 31292K2G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209867 | PA      | $220552.15     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4961.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.76000 01/03/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $574.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2006-1                                           | MORTGAGEIT TRUST MHL 2006 1 1A1                         | CUSIP: 61915RBY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398457 | PA      | $385684.16     | 0.02%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ1108 FR 03/54 FIXED 5               | CUSIP: 3142GRGS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13297288 | PA      | $13134950.85   | 0.79%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                        | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4704826.48    | 0.28%             | 2034-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q56466 FG 06/48 FIXED 4               | CUSIP: 3132Y0FG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400031 | PA      | $384315.19     | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $18665.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 972952 FN 02/38 FIXED 5                       | CUSIP: 31414QL96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17051 | PA      | $17066.89      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A89332 FG 10/39 FIXED 5               | CUSIP: 312936LM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6876 | PA      | $6961.19       | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                            | NEW YORK CITY NY HSG DEV CORP NYCMFH 11/27 FIXED 1.477  | CUSIP: 64972EUD9<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     300000 | PA      | $288858.15     | 0.02%             | 2027-11-01      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5383.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 01/33 6.5             | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     500000 | PA      | $490250.00     | 0.03%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899892 FN 11/36 FIXED 6                       | CUSIP: 31410WXV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $751.33        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C            | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $357703.68     | 0.02%             | 2037-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 797491 FN 03/35 FIXED 5.5                     | CUSIP: 31405R7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15731 | PA      | $16227.29      | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 781629 FN 12/34 FIXED 5.5                     | CUSIP: 31404XLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9198 | PA      | $9487.73       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO DEUTSCHE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8754340 | PA      | $-8780926.45   | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02929 FG 04/37 FIXED 6               | CUSIP: 3128M4SS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1888 | PA      | $1978.48       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 610978 GN 05/34 FIXED 5                       | CUSIP: 36202VXF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        434 | PA      | $432.91        | 0.00%             | 2034-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-58991.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 952393 FN 12/37 FIXED 6                       | CUSIP: 31413QRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5328 | PA      | $5577.17       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $293781.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A13         | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     949143 | PA      | $754040.45     | 0.05%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0048 FR 10/53 FIXED 4.5             | CUSIP: 3142GQBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5004029 | PA      | $4835638.73    | 0.29%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     247928 | PA      | $65238.70      | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080022 G2 12/26 FLOATING VAR               | CUSIP: 36225CAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $66.81         | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD8695 FN 06/40 FIXED 5                       | CUSIP: 31418WUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79399 | PA      | $80230.41      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7589 FN 11/53 FIXED 5.5                     | CUSIP: 3140QTNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27832753 | PA      | $28028053.01   | 1.68%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/44 3                                 | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $1608632.80    | 0.10%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 07/28 VAR             | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3322051.23    | 0.20%             | 2028-07-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FINANCING DAC                                    | SMURFIT WESTROCK FIN COMPANY GUAR 01/35 5.418           | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    2100000 | PA      | $2119233.61    | 0.13%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 974781 FN 04/38 FLOATING VAR                  | CUSIP: 31414SM67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4207 | PA      | $4319.43       | 0.00%             | 2038-04-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8572 FR 06/53 FIXED 4.5             | CUSIP: 3133KQQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11422062 | PA      | $11070080.54   | 0.66%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $656.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6829 FN 07/53 FIXED 4                       | CUSIP: 3140QSST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7952365 | PA      | $7531342.91    | 0.45%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804565 FN 01/35 FLOATING VAR                  | CUSIP: 31406AZ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25073 | PA      | $25521.73      | 0.00%             | 2035-01-01      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889380 FN 04/38 FLOATING VAR                  | CUSIP: 31410KCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12859 | PA      | $13191.05      | 0.00%             | 2038-04-01      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3059.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/50 1.375                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4000000 | PA      | $1956796.88    | 0.12%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25227.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-52646.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902745 FN 11/36 FIXED 6                       | CUSIP: 31411A5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1197 | PA      | $1239.22       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04626 FG 05/31 FIXED 6               | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        160 | PA      | $163.06        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1252.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA4236 FN 04/39 FIXED 4.5                     | CUSIP: 31416MV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18571 | PA      | $18255.77      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SWEDEN GOVT                                                       | KINGDOM OF SWEDEN SR UNSECURED 144A 09/30 0.125         | CUSIP: ACI1R0MP4<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |  155000000 | PA      | $14788990.83   | 0.89%             | 2030-09-09      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (20 YEAR ISSUE) BONDS 09/45 2.7                   | CUSIP: ACI315PQ2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   37150000 | PA      | $215514.71     | 0.01%             | 2045-09-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $5173.00       | 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      | $-6019.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO BANK OF MONTREAL REVERSE REPO.             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3057625 | PA      | $-3064367.05   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $940565.11     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 885413 FN 06/36 FIXED 6                       | CUSIP: 31410CVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        490 | PA      | $513.35        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5             | CUSIP: 3128M5ED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3562 | PA      | $3682.80       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6839 G2 03/48 FIXED 4                    | CUSIP: 3617G1S41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1391940 | PA      | $1312447.37    | 0.08%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                  | MORGAN STANLEY PVT BANK SR UNSECURED 11/28 VAR          | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3289664.96    | 0.20%             | 2028-11-17      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                               | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2       | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154892 | PA      | $151635.39     | 0.01%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| EDP FINANCE BV                                                    | EDP FINANCE BV SR UNSECURED 144A 01/28 1.71             | CUSIP: 26835PAH3<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |    9000000 | PA      | $8544152.70    | 0.51%             | 2028-01-24      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       9000 | PA      | $8975.53       | 0.00%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M1       | CUSIP: 46626LCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167667 | PA      | $166820.30     | 0.01%             | 2035-10-25      | Floating      | 4.41%                 | 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        |  746900000 | PA      | $3651647.07    | 0.22%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995112 FN 07/36 FIXED VAR                     | CUSIP: 31416BN53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7408 | PA      | $7574.60       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9300000 | PA      | $7290691.38    | 0.44%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR EUR ESTRON/2.05630 11/18/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $39688.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $83505.74      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-5615.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MANULIFE FINANCIAL CORPORATION                                    | MANULIFE FINANCIAL CORP SR UNSECURED 03/32 3.703        | CUSIP: 56501RAN6<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |    7000000 | PA      | $6631978.92    | 0.40%             | 2032-03-16      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM8966 G2 06/49 FIXED 3.5                  | CUSIP: 3617K06B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     987636 | PA      | $919032.92     | 0.06%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH5585 FN 02/41 FIXED 5                       | CUSIP: 3138A7F37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19030 | PA      | $19243.32      | 0.00%             | 2041-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                       | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A      | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4497266 | PA      | $4071353.01    | 0.24%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6309.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DHAFRAH PV2 ENERGY CO LLC                                         | DHAFRAH PV2 ENERGY COMPA SR SECURED 144A 06/53 5.794    | CUSIP: 25241MAA5<br>LEI: 529900AHXZA1YRZN9C67 | Long             | DBT              | CORP              | AE        |    2500000 | PA      | $2430550.58    | 0.15%             | 2053-06-30      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/52 2.25                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8000000 | PA      | $4823906.24    | 0.29%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02744 FG 03/37 FIXED 6               | CUSIP: 3128M4LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15637 | PA      | $16429.55      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNG BANK NV                                                       | BNG BANK NV SR UNSECURED 144A 02/30 4.75                | CUSIP: 05591F2Y5<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | CORP              | NL        |    3800000 | PA      | $3906222.50    | 0.23%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H25                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H25 FB          | CUSIP: 38375UZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     742344 | PA      | $751411.12     | 0.05%             | 2067-11-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAPITAL COMPANY GUAR 12/26 2.2           | CUSIP: ACI1H0BK8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   10300000 | PA      | $6979280.80    | 0.42%             | 2026-12-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-74553.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $6229.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB0257 FR 11/33 FIXED 4               | CUSIP: 3132CWJA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        548 | PA      | $547.49        | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 182 FW          | CUSIP: 38380UAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234687 | PA      | $226383.37     | 0.01%             | 2047-05-20      | Floating      | 4.13%                 | 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        |    6500000 | PA      | $1774663.07    | 0.11%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                       | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7           | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $8910501.19    | 0.53%             | 2053-04-01      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ1109 FR 03/54 FIXED 5.5             | CUSIP: 3142GRGT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4403889 | PA      | $4432772.86    | 0.27%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 797443 FN 01/35 FIXED 5.5                     | CUSIP: 31405R5C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24004 | PA      | $24688.86      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/49 2.875                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18300000 | PA      | $13015875.00   | 0.78%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 12/21/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17000543.55   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260706                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $60172.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-11076.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $236.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.08316 06/30/26-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8814.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   25700000 | PA      | $7723367.34    | 0.46%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO GAS & ELECTRIC COMPANY                                  | SAN DIEGO G + E 1ST MORTGAGE 08/28 4.95                 | CUSIP: 797440CE2<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4369867.48    | 0.26%             | 2028-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | UNITED MEXICAN STATES SR UNSECURED 05/31 3.875          | CUSIP: ACI381N52<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2700000 | PA      | $3047987.43    | 0.18%             | 2031-05-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-12805.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2504880.51    | 0.15%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H08 FT          | CUSIP: 38376RTW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28397 | PA      | $28518.80      | 0.00%             | 2066-02-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $107764.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNNOVA SOL V ISSUER LLC 2023-1A                                  | SUNNOVA SOL V ISSUER, LLC SNVA 2023 1A A 144A           | CUSIP: 86745XAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1855860 | PA      | $1810267.24    | 0.11%             | 2058-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                 | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |     700000 | PA      | $522327.95     | 0.03%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8535.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8413.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 762626 FN 01/34 FIXED 5.5                     | CUSIP: 31404AHB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28536 | PA      | $29036.98      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $749.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-76478.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-5670.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3073.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ICE 3MTH SONIA FU MAR27 IFLL 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         51 | NC      | $23563.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-84.77        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $16801.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6608 FN 07/53 FIXED 4                       | CUSIP: 3140QSKW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4921782 | PA      | $4657144.55    | 0.28%             | 2053-07-01      | Fixed         | 4.00%                 | 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        |    1750496 | PA      | $1343308.94    | 0.08%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QI1132 FR 03/54 FIXED 5               | CUSIP: 3133W7HH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     307683 | PA      | $303878.71     | 0.02%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0643 FN 06/39 FIXED VAR                     | CUSIP: 31418MWD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163738 | PA      | $168889.38     | 0.01%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2197.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5      | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1689382.87    | 0.10%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-74250.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWITCH ABS ISSUER LLC 2025-2A                                     | SWITCH ABS ISSUER, LLC SWTCH 2025 2A A21 144A           | CUSIP: 871044AS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5800000 | PA      | $5674624.88    | 0.34%             | 2055-10-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $821610.09     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| KEB HANA BANK (AKA: KOREA EXCHANGE BANK)                          | HANA BANK SR UNSECURED 144A 04/27 5.375                 | CUSIP: 48723RAE5<br>LEI: 6RPK2YDJN6L35AS0M510 | Long             | DBT              | CORP              | KR        |    2700000 | PA      | $2734613.76    | 0.16%             | 2027-04-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER CORPORATION                                  | NIAGARA MOHAWK POWER SR UNSECURED 144A 06/30 1.96       | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4409446.10    | 0.26%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9128 FR 08/53 FIXED 5.5             | CUSIP: 3133KRD92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5136328 | PA      | $5177076.86    | 0.31%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNG BANK NV                                                       | BNG BANK NV SR UNSECURED 144A 05/28 3.5                 | CUSIP: 05591F2S8<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | CORP              | NL        |    4000000 | PA      | $3969942.60    | 0.24%             | 2028-05-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                          | HOST HOTELS + RESORTS LP SR UNSECURED 12/31 2.9         | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    6800000 | PA      | $6048557.77    | 0.36%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $5034.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6960000 | PA      | $2169202.33    | 0.13%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC (AKA: MCGRAW HILL FINANCIAL INC)                   | S+P GLOBAL INC COMPANY GUAR 03/29 2.95                  | CUSIP: 78409VBJ2<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2119672.48    | 0.13%             | 2029-03-01      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 763703 FN 04/34 FIXED 5.5                     | CUSIP: 31404BNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1068 | PA      | $1092.41       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-48531.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        494 | NC      | $-836089.89    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                   | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/35 4 | CUSIP: ACI2CQHN2<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     700000 | PA      | $445332.49     | 0.03%             | 2035-08-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/49 2.375                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7756000 | PA      | $4943541.07    | 0.30%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB5223 FN 11/52 FIXED 4                       | CUSIP: 3140QQYV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22024753 | PA      | $20902672.91   | 1.25%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-693.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $11130.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-73386.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-30088.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR EUR ESTRON/2.05000 11/18/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $26162.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                | CREDIT AGRICOLE SA 144A 01/32 VAR                       | CUSIP: 22535WAT4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1700000 | PA      | $1677247.12    | 0.10%             | 2032-01-12      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $5150.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995069 FN 10/38 FIXED VAR                     | CUSIP: 31416BMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2993 | PA      | $3141.14       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOL4 PIMCO CDSOPT PUT EUR 1.05 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -2200000 | NC      | $-2573.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8480 FR 07/53 FIXED 4               | CUSIP: 3133KQM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8277768 | PA      | $7830950.86    | 0.47%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2583.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $7226.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2023-1A                      | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2023 1A A 144A     | CUSIP: 89231WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2031639.20    | 0.12%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $1823092.91    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTODESK INC                                                      | AUTODESK INC SR UNSECURED 12/31 2.4                     | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4389277.75    | 0.26%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                   | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  580250000 | PA      | $2775313.76    | 0.17%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-6842.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH6692 G2 06/48 FIXED 4                    | CUSIP: 3617H4NH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1355212 | PA      | $1279490.99    | 0.08%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-48997.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH0101 FN 11/30 FIXED 4                       | CUSIP: 3138A1DF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1778 | PA      | $1765.21       | 0.00%             | 2030-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                   | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  531000000 | PA      | $3075286.47    | 0.18%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735886 FN 08/35 FLOATING VAR                  | CUSIP: 31402RRF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104169 | PA      | $105694.90     | 0.01%             | 2035-08-01      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-6783.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H060648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18900000 | PA      | $19220590.31   | 1.15%             | 2056-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM1356 G2 07/49 FIXED 3.5                  | CUSIP: 3617JRQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1151825 | PA      | $1067031.68    | 0.06%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/41 2                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6400000 | PA      | $4428249.98    | 0.27%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                            | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $10988706.30   | 0.66%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0046 FR 10/53 FIXED 4               | CUSIP: 3142GQBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6014893 | PA      | $5682754.69    | 0.34%             | 2053-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 02/51 1.875                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16325000 | PA      | $9068027.34    | 0.54%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        240 | NC      | $-287958.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP/THE SR UNSECURED 01/31 2.45                    | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1416182.11    | 0.08%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 843935 FN 11/35 FIXED 5.5                     | CUSIP: 31407XSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5666 | PA      | $5811.93       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                               | QUANTA SERVICES INC SR UNSECURED 08/28 4.3              | CUSIP: 74762EAM4<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3195848.00    | 0.19%             | 2028-08-09      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 4A1        | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363848 | PA      | $338663.93     | 0.02%             | 2037-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/43 2.875                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $2996601.58    | 0.18%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-23494.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | STRIPS 08/40 0.00000                                    | CUSIP: 912834JB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $149336.69     | 0.01%             | 2040-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                              | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM2 A1 144A   | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1704695 | PA      | $1708444.77    | 0.10%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -337 | NC      | $1305649.51    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 02/30 VAR                | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    5400000 | PA      | $5517605.57    | 0.33%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3690.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV42 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $51460.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                             | CPI PROPERTY GROUP SA SR UNSECURED REGS 01/28 VAR       | CUSIP: ACI1J42H5<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |    3100000 | PA      | $3952847.65    | 0.24%             | 2028-01-22      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-4870.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                 | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A            | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     302230 | PA      | $303295.44     | 0.02%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -10 | NC      | $-1271.44      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK CITY HOUSING DEVELOPMENT CORP                            | NEW YORK CITY NY HSG DEV CORP NYCMFH 11/28 FIXED 1.677  | CUSIP: 64972EUF4<br>LEI: 549300SQWVHKBRF8D702 | Long             | DBT              | MUN               | US        |     875000 | PA      | $825149.50     | 0.05%             | 2028-11-01      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 01/29 VAR          | CUSIP: 38145GAP5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4175226.05    | 0.25%             | 2029-01-21      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64396 | PA      | $66283.89      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04628 FG 05/33 FIXED 6               | CUSIP: 3128M6PM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $517.74        | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 03/32 VAR                   | CUSIP: 61747YGB5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1887618.92    | 0.11%             | 2032-03-12      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10497.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3291.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04877 FG 10/38 FIXED 6               | CUSIP: 3128M6XE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2674 | PA      | $2810.41       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-121.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $220132.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-6111.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                    | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE A 144A   | CUSIP: 865592AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10200000 | PA      | $9251702.94    | 0.55%             | 2041-02-12      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18250000 | PA      | $17223583.87   | 1.03%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSSETTS HIGHER EDUCATION ASSISTANCE CORPORATION            | MASSACHUSETTS HIGHER EDU UNSECURED 07/31 2.673          | CUSIP: 575674AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4400000 | PA      | $3860882.70    | 0.23%             | 2031-07-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $684.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 878201 FN 09/36 FIXED 6                       | CUSIP: 31409TU22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30131 | PA      | $31626.32      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4PA2 PIMCO SWAPTION 3.0 CALL USD 20260713          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -60700000 | NC      | $-31970.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $17943.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14700000 | PA      | $14499506.99   | 0.87%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 3.375                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $817617.19     | 0.05%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555285 FN 03/33 FIXED VAR                     | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8553 | PA      | $8801.70       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR EUR ESTRON/2.06280 11/14/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $62573.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                        | BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/28 1 | CUSIP: ACI0SY7X1<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    5747805 | PA      | $6832080.66    | 0.41%             | 2028-05-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                    | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                 | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2902464.68    | 0.17%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2075.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2109000 | PA      | $2102574.13    | 0.13%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 938574 FN 09/36 FIXED 5.5                     | CUSIP: 31412YFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        812 | PA      | $831.49        | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $2460.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $391.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1166.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL WIND LLC                                              | CONTINENTAL WIND SR SECURED 144A 02/33 6                | CUSIP: 212168AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3542305 | PA      | $3619304.99    | 0.22%             | 2033-02-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                           | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A     | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8857789 | PA      | $8428273.82    | 0.51%             | 2038-08-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 755505 FN 12/33 FIXED 5.5                     | CUSIP: 31403RKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26548 | PA      | $26691.05      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH     | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A   | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8105000 | PA      | $7844949.45    | 0.47%             | 2038-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 02/32 VAR                     | CUSIP: 06738EDJ1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3327680.81    | 0.20%             | 2032-02-24      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7708795.28    | 0.46%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/45 3                                 | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $1903320.30    | 0.11%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-67888.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORVESTOR SPV III SCSP                                            | PROJECT FENNO EUR DELAYED DRAW TERM LOAN B              | CUSIP: BA000MLR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | LU        |     261082 | PA      | $303578.95     | 0.02%             | 2028-07-10      | Floating      | 4.46%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 749219 FN 10/33 FIXED 5.5                     | CUSIP: 31403HK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2360 | PA      | $2372.52       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM9250 G2 05/49 FIXED 3.5                  | CUSIP: 3617K1H30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     590623 | PA      | $548233.69     | 0.03%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL ENERGY COMPANY PJSC (TAQA)                     | ABU DHABI NATIONAL ENERG SR UNSECURED 144A 03/37 4.75   | CUSIP: 00388WAP6<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    3700000 | PA      | $3491435.48    | 0.21%             | 2037-03-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3055.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-439.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/51 2                                 | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15425000 | PA      | $8788032.19    | 0.53%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA7171 FN 05/39 FIXED 4.5                     | CUSIP: 31416Q6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13310 | PA      | $13180.09      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 06/29 VAR              | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1783000 | PA      | $1696791.95    | 0.10%             | 2029-06-01      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3125.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR          | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        825 | PA      | $837.79        | 0.00%             | 2030-07-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 04/28 1.25                              | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7047495 | PA      | $7076955.85    | 0.42%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-8211.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-3925.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 885418 FN 06/36 FIXED 6                       | CUSIP: 31410CVK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        342 | PA      | $353.47        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889692 FN 05/38 FIXED VAR                     | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2900 | PA      | $2989.38       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $1546927.41    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4311.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1004 FN 12/28 FIXED 4.01                    | CUSIP: 3140HSDJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7558716 | PA      | $7549613.38    | 0.45%             | 2028-12-01      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1770.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A4         | CUSIP: 68389BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3101178 | PA      | $1527615.81    | 0.09%             | 2037-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 03/48 4.125            | CUSIP: 842400GK3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     250000 | PA      | $187303.25     | 0.01%             | 2048-03-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1413.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A80378 FG 12/36 FIXED 5.5             | CUSIP: 312926M39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $437.87        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/43 3.75                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7600000 | PA      | $6587656.29    | 0.39%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 962064 FN 03/38 FIXED 5.5                     | CUSIP: 31414CJH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8280 | PA      | $8525.26       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DENSO CORPORATION                                                 | DENSO CORP SR UNSECURED 144A 09/29 4.42                 | CUSIP: 24872BAB6<br>LEI: 549300RYPA10CQM3QK38 | Long             | DBT              | CORP              | JP        |    6300000 | PA      | $6293301.15    | 0.38%             | 2029-09-11      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0847 FN 06/39 FIXED VAR                     | CUSIP: 31418M5H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259394 | PA      | $267829.58     | 0.02%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-48353.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5             | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5639 | PA      | $5688.67       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-633.20       | -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        |    2200000 | PA      | $2055796.86    | 0.12%             | 2054-11-15      | Fixed         | 4.50%                 | 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        |    5200000 | PA      | $4640085.22    | 0.28%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74800 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20820.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10309.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMIT 2022-BVUE MORTGAGE TRUST                                    | SUMIT 2022 BVUE MORTGAGE TRUST SUMMT 2022 BVUE B 144A   | CUSIP: 865592AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1495318.47    | 0.09%             | 2041-02-12      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $542.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/41 1.75                              | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26800000 | PA      | $17926164.10   | 1.07%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1              | CUSIP: 40431KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188412 | PA      | $53013.04      | 0.00%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $25390.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $15838.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5902888.41    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080095 G2 07/27 FLOATING VAR               | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        305 | PA      | $306.53        | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985719 FN 06/38 FIXED 5.5                     | CUSIP: 31415QAU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1436 | PA      | $1473.07       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                                | RWE FINANCE US LLC COMPANY GUAR 144A 09/35 5.125        | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4085294.89    | 0.24%             | 2035-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 04/31 5.42        | CUSIP: 345397J61<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1866463.67    | 0.11%             | 2031-04-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1601.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-8490.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DORIS DUKE CHARITABLE FOUNDATION/THE                              | DORIS DUKE CHARITABLE UNSECURED 07/50 2.345             | CUSIP: 258261AA4<br>LEI: HFI2KJN5A6RHAGMWK984 | Long             | DBT              | CORP              | US        |   12500000 | PA      | $7002996.00    | 0.42%             | 2050-07-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2024-1                                    | BMW VEHICLE LEASE TRUST BMWLT 2024 1 A3                 | CUSIP: 05611UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     852943 | PA      | $853866.51     | 0.05%             | 2027-03-25      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832802 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2686 | PA      | $2733.50       | 0.00%             | 2035-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323867 FN 07/29 FIXED VAR                     | CUSIP: 31374TW47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8674 | PA      | $8768.34       | 0.00%             | 2029-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3019 FN 12/38 FIXED VAR                     | CUSIP: 3138EKK95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9489 | PA      | $9684.69       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1028.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENEW WIND ENERGY AP2 / RENEW POWER PVT LTD OTHER 9 SUBSIDIARIES  | 10 RENEW POWER SUBSIDIAR SR SECURED 144A 07/28 4.5      | CUSIP: 75973PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    4500000 | PA      | $4248395.10    | 0.25%             | 2028-07-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1767.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA SR UNSECURED 11/27 VAR                      | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7224114.31    | 0.43%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $5773.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $173150.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5             | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19012 | PA      | $19620.93      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2612.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08039 FG 02/35 FIXED 4.5             | CUSIP: 3128MJBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4777 | PA      | $4733.09       | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/41 2.25                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2200000 | PA      | $1604066.40    | 0.10%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BLUEHUB LOAN FUND INC                                             | BLUEHUB LOAN FUND SR UNSECURED 01/27 2.89               | CUSIP: 095623AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1273799.80    | 0.08%             | 2027-01-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-997.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/42 3.375                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14500000 | PA      | $12117128.87   | 0.73%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5911.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                        | SANTANDER HOLDINGS USA SR UNSECURED 03/31 VAR           | CUSIP: 80282KBQ8<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3284622.18    | 0.20%             | 2031-03-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $5094.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4LA6 PIMCO SWAPTION 3.5 CALL USD 20260720          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   63100000 | NC      | $96290.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77107 | PA      | $78844.94      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | 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        |    2527912 | PA      | $2529518.57    | 0.15%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1941744.36    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 128776 FN 02/31 FLOATING VAR                  | CUSIP: 31365H6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $66.89         | 0.00%             | 2031-02-01      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $195000.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3799 FN 05/28 FIXED VAR                     | CUSIP: 3138ELGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     281559 | PA      | $279185.77     | 0.02%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                             | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                     | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1500000 | PA      | $1733553.58    | 0.10%             | 2037-01-20      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2549.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G61453 FG 05/48 FIXED 3.5             | CUSIP: 31335BTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2698917 | PA      | $2513788.02    | 0.15%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LIMITED                                          | JSW HYDRO ENERGY LTD SR SECURED REGS 05/31 4.125        | CUSIP: Y4S71YAA2<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |    4656500 | PA      | $4265519.49    | 0.26%             | 2031-05-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                             | CQS US CLO LTD CQS 2021 1A AR 144A                      | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4800000 | PA      | $4801594.03    | 0.29%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $10509.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                          | HOST HOTELS + RESORTS LP SR UNSECURED 09/30 3.5         | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2915395.25    | 0.17%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 681846 FN 03/33 FLOATING VAR                  | CUSIP: 31400AP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $702.88        | 0.00%             | 2033-03-01      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-16803.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $6815.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $45529.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                      | REPUBLIC OF CHILE SR UNSECURED 01/29 4.85               | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    6600000 | PA      | $6687450.00    | 0.40%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH3888 G2 05/48 FIXED 4                    | CUSIP: 3617H1J99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1047764 | PA      | $993528.43     | 0.06%             | 2048-05-20      | Fixed         | 4.00%                 | 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      | $114442.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7190.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1781.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCACA2 PIMCO SWAPTION 3.669 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3800000 | NC      | $-10912.84     | -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      | $3121781.44    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COMPANY OF COLORADO                                | PUBLIC SERVICE COLORADO 1ST MORTGAGE 06/28 3.7          | CUSIP: 744448CP4<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3355680.46    | 0.20%             | 2028-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-5                           | THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1            | CUSIP: 88522RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239076 | PA      | $230345.30     | 0.01%             | 2046-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer