# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001752724-25-191287
**Filing Date:** 2025-8
**Character Count:** 519520
**Document Hash:** 24f4c1db07b4a5921973c3d9374a2d34
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-191287.hdr.sgml**: 20250818

**ACCESSION NUMBER**: 0001752724-25-191287

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250818

**DATE AS OF CHANGE**: 20250818

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACIFIC SELECT FUND
- **CENTRAL INDEX KEY:** 0000813900

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 251226654

**BUSINESS ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9492193233

**MAIL ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### Total Return Portfolio (Series ID: S000026011)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000078080 | Class I      |  |
| C000098952 | Class P      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACIFIC SELECT FUND

- **b. Investment Company Act file number:** 811-05141

- **c. CIK number of Registrant:** 0000813900

- **d. LEI of Registrant:** 549300KH2YJL0X2VEL27

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

  - **Street Address 1:** 700 NEWPORT CTR DR

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** 949-219-3233

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

- **a. Name of Series:** Total Return Portfolio

- **b. EDGAR series identifier (if any):** S000026011

- **c. LEI of Series:** 5SCI88E1XWY2RI6Q4163

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3656838038.68

**Total Liabilities:** $1947250036.10

**Net Assets:** $1709588002.58

**Delayed Delivery Securities:** $1355303817.22

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -5675.26000000 | **1-Year:** -73844.53000000 | **5-Year:** -129634.98000000 | **10-Year:** -61659.85000000 | **30-Year:** -14640.94000000

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

- **3-Month:** -1035.09000000 | **1-Year:** -14483.82000000 | **5-Year:** -77620.48000000 | **10-Year:** -28832.24000000 | **30-Year:** -2846.17000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000078080 | 0.00%                | -0.61%               | 1.78%                |
| Class ID C000098952 | 0.01%                | -0.59%               | 1.80%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2827362.03             | $1186525.59                                |
| Month 2  | $-18540595.46            | $-918301.29                                |
| Month 3  | $-4021285.42             | $32282235.54                               |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QPK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3207828 | PA      | $3077088.78   | 0.18%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                 | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    2277000 | PA      | $2257760.37   | 0.13%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust                   | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1504842 | PA      | $66294.92     | 0.00%             | 2035-12-25      | Floating      | 0.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3603743 | PA      | $1535643.58   | 0.09%             | 2037-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412N6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2357 | PA      | $2390.05      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Manulife Financial Corp                           | Manulife Financial Corp                                                          | CUSIP: 56501RAC0<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $499237.05    | 0.03%             | 2026-03-04      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 A PTT                           | American Airlines 2016-3 Class A Pass Through Trust                              | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1793676 | PA      | $1683523.29   | 0.10%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                    | Synchrony Bank                                                                   | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5712418.32   | 0.33%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12544 | PA      | $13117.40     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     725802 | PA      | $482375.54    | 0.03%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        882 | PA      | $883.47       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                               | CUSIP: 756109BZ6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    8100000 | PA      | $7964248.46   | 0.47%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2921775 | PA      | $2884866.60   | 0.17%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6700000 | PA      | $6464646.42   | 0.38%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KRB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9765542 | PA      | $9605855.62   | 0.56%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RUA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50740 | PA      | $50919.72     | 0.00%             | 2035-08-01      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8237 | PA      | $8345.75      | 0.00%             | 2032-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Trinity Square                                    | Trinity Square 2021-1 PLC                                                        | CUSIP: 000000000<br>LEI: 6354001L6FRKQUMWRQ12 | Long             | ABS-MBS          | CORP              | GB        |    2820048 | PA      | $3881381.72   | 0.23%             | 2059-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $2883.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1800000 | PA      | $1424460.94   | 0.08%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-586.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PEMEX LCDS SP DUB                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |     458820 | OU      | $1136.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    3300000 | PA      | $3374779.72   | 0.20%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    8000000 | PA      | $7109108.64   | 0.42%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        787 | PA      | $790.76       | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-85323.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $737.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-131007.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2005-2                                              | CUSIP: 805564SD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1429137 | PA      | $1390717.98   | 0.08%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407TSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31496 | PA      | $33018.08     | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     324000 | PA      | $322297.69    | 0.02%             | 2025-08-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11780 | PA      | $11786.74     | 0.00%             | 2031-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405G5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4752 | PA      | $4770.59      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10800000 | PA      | $11135981.84  | 0.65%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/18/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11000000 | OU      | $278287.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        852 | PA      | $851.53       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9200000 | PA      | $6881671.85   | 0.40%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26382 | PA      | $25987.11     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10439 | PA      | $10583.00     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-122121.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296XE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29543 | PA      | $29688.01     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2189313 | PA      | $1170168.77   | 0.07%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1524 | PA      | $1558.45      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38383KLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9080783 | PA      | $9168005.75   | 0.54%             | 2073-12-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3340.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A5ZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        769 | PA      | $765.02       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9EPA4 PIMCO SWAPTION 3.701 CALL USD 202506                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1100000 | NC      | $-1472.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2048.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13915 | PA      | $14301.38     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $14.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KYQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        532 | PA      | $533.07       | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CC20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        144 | PA      | $143.57       | 0.00%             | 2027-06-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85948 | PA      | $82499.92     | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | ID        |          1 | NC      | $157.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7200000 | PA      | $6483166.20   | 0.38%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4635000.00   | 0.27%             | 2029-09-13      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103632 | PA      | $102119.67    | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                       | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4363274.37   | 0.26%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SCENTRE GROUP TRUST 1/2                           | Scentre Group Trust 1 / Scentre Group Trust 2                                    | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              |  | AU        |    7300000 | PA      | $7257705.63   | 0.42%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                            | CUSIP: 89788MAJ1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2309622.65   | 0.14%             | 2026-10-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                              | Adnoc Murban Rsc Ltd                                                             | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    2100000 | PA      | $2091706.09   | 0.12%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-6957.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-1005.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418SDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10667 | PA      | $10913.45     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        625 | PA      | $627.89       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11818 | PA      | $11833.93     | 0.00%             | 2035-09-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2023-NQM1 Trust                                                              | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3359904 | PA      | $3358416.95   | 0.20%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holding SA                                                               | CUSIP: 262051105<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |       3476 | NS      | $71258.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SOLVAY FINANCE (AMERICA)                          | Syensqo Finance America LLC                                                      | CUSIP: 834423AE5<br>LEI: 54930073OEL5K0Y7NK81 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4774467.56   | 0.28%             | 2029-06-04      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $213674.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     881000 | PA      | $269993.90    | 0.02%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holdings SA                                                              | CUSIP: 262051204<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |      31292 | NS      | $641486.00    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC1                    | CUSIP: 86359YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1088062 | PA      | $1041710.18   | 0.06%             | 2036-03-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3368628 | PA      | $1958677.20   | 0.11%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9M3A0 PIMCO SWAPTION 4.037 PUT USD 2025071                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-559.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                | RWE Finance US LLC                                                               | CUSIP: 749983AA0<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4140191.92   | 0.24%             | 2034-04-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                             | Stellantis Finance US Inc                                                        | CUSIP: 85855CAM2<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1916195.87   | 0.11%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31359RY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1529 | PA      | $1528.39      | 0.00%             | 2028-04-18      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-466400.79   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    6025000 | PA      | $5834138.06   | 0.34%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $11.28        | 0.00%             | 2025-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                     | DTE Energy Co                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6222397.96   | 0.36%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13643292 | PA      | $12560003.97  | 0.73%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-1498.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     617174 | PA      | $585244.11    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFP III                                           | PFP 2022-9 Ltd                                                                   | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3579209 | PA      | $3593768.92   | 0.21%             | 2035-08-19      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4302209.69   | 0.25%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     102554 | PA      | $100171.86    | 0.01%             | 2036-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-5.96        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 06/20/24-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4900000 | OU      | $-65227.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391LJN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75371 | PA      | $76146.30     | 0.00%             | 2033-02-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26311 | PA      | $27277.40     | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U9GAA5 PIMCO SWAPTION 2.64 PUT EUR 20250703                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-616.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                 | National Grid PLC                                                                | CUSIP: 636274AD4<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3521650.27   | 0.21%             | 2028-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3136104.46   | 0.18%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U8PVA3 PIMCO SWAPTION 3.36 CALL USD 2025071                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   49900000 | NC      | $1137.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5518077 | PA      | $4488334.61   | 0.26%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-132041.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $5533730.46   | 0.32%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    8500000 | PA      | $9248537.20   | 0.54%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECM5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3600000 | PA      | $3653178.95   | 0.21%             | 2027-09-13      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                    | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20318 | PA      | $20179.72     | 0.00%             | 2035-01-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust              | Toyota Auto Loan Extended Note Trust 2023-1                                      | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2450532.96   | 0.14%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENT HO                          | Abu Dhabi Developmental Holding Co PJSC                                          | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    3600000 | PA      | $3551677.56   | 0.21%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $1774997.84   | 0.10%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   11300000 | OU      | $131658.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                 | Catamaran CLO 2014-1 Ltd                                                         | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |    1062200 | PA      | $1063388.02   | 0.06%             | 2030-04-22      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-16791.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37019 | PA      | $37437.93     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CLEAR STREET                                      | CLEAR STREET                                                                     | CUSIP: 000000000<br>LEI: 549300KNQS43Y7TO3X67 | Long             | RA               | CORP              | US        |    7494661 | PA      | $7494660.88   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U9FTA7 PIMCO SWAPTION 4.05 PUT USD 20250630                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-0.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296GQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32634 | PA      | $32558.48     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416NJV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        952 | PA      | $948.10       | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $1026.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR                           | Alaska Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4207143 | PA      | $4214111.55   | 0.25%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2005-AA1                     | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288358 | PA      | $164785.30    | 0.01%             | 2035-03-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1079.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1115457 | PA      | $1048592.47   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MHL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        651 | PA      | $649.05       | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                             | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    7000000 | PA      | $6290970.00   | 0.37%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174407 | PA      | $176723.41    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57970 | PA      | $58840.49     | 0.00%             | 2031-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CN        |          1 | NC      | $2351.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2004-4                                                   | CUSIP: 437084CZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617664 | PA      | $615281.41    | 0.04%             | 2034-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.90         | 0.00%             | 2025-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2020622 | PA      | $1981579.44   | 0.12%             | 2043-10-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    6000000 | PA      | $5571307.38   | 0.33%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3736335 | PA      | $2360341.38   | 0.14%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-10049.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U9JTA9 PIMCO SWAPTION 3.772 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-11428.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212WMD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        932 | PA      | $933.32       | 0.00%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8127566 | PA      | $2933477.39   | 0.17%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        408 | PA      | $408.97       | 0.00%             | 2026-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U9LEA0 PIMCO SWAPTION 2.72 PUT EUR 20250716                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-825.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1752807 | PA      | $1694394.05   | 0.10%             | 2044-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AAYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $378.74       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1551253.50   | 0.09%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164603 | PA      | $156919.11    | 0.01%             | 2036-02-20      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                       | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    8700000 | PA      | $7750444.59   | 0.45%             | 2031-07-10      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406YFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1181 | PA      | $1229.89      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                             | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    3500000 | PA      | $3535367.54   | 0.21%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                 | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4753 | PA      | $4595.30      | 0.00%             | 2032-01-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                          | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     590000 | PA      | $592911.57    | 0.03%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        316 | PA      | $316.14       | 0.00%             | 2026-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| AMDOCS LTD                                        | Amdocs Ltd                                                                       | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |    4700000 | PA      | $4259757.25   | 0.25%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2053341.44   | 0.12%             | 2027-11-07      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403CX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6898 | PA      | $7160.52      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2016-C3                                      | CUSIP: 17325GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1123559 | PA      | $1116363.15   | 0.07%             | 2049-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                           | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    6500000 | PA      | $6287334.95   | 0.37%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404U6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        540 | PA      | $564.66       | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $742617.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11708 | PA      | $11749.22     | 0.00%             | 2032-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2643232.88   | 0.15%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2666.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4700000 | PA      | $3234187.50   | 0.19%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1424082.86   | 0.08%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-LIH Mortgage Trust                                                     | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $7076298.07   | 0.41%             | 2036-11-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX                             | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6694265.20   | 0.39%             | 2038-09-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1716 | PA      | $1713.33      | 0.00%             | 2029-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $81.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst  | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1098263 | PA      | $1067745.39   | 0.06%             | 2035-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1205114 | PA      | $1205347.39   | 0.07%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $376.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | Countrywide Asset-Backed Certificates                                            | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1165238 | PA      | $901038.01    | 0.05%             | 2047-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  790000000 | PA      | $5197383.91   | 0.30%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    5000000 | PA      | $5024584.55   | 0.29%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    2300000 | PA      | $2495171.12   | 0.15%             | 2030-01-17      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SOUTH AFRICA EM SP MYC                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    4800000 | OU      | $17233.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 12/18/24-1Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20000000 | OU      | $70280.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                     | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11185226.08  | 0.65%             | 2038-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-22728.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406VWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9549 | PA      | $9990.20      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7122 | PA      | $7264.72      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410W5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12446 | PA      | $12856.79     | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38952 | PA      | $39719.11     | 0.00%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $2707.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-ACC1                                   | CUSIP: 46628RAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7472301 | PA      | $7191464.65   | 0.42%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                            | Brazil Letras do Tesouro Nacional                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   21000000 | PA      | $3728056.09   | 0.22%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1320258 | PA      | $352777.49    | 0.02%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3988 | PA      | $4182.78      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/20/23-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |   12700000 | OU      | $339162.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408GY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5892 | PA      | $6160.70      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192473 | PA      | $182405.43    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     324000 | PA      | $322586.21    | 0.02%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $915585.94    | 0.05%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5520 | PA      | $5641.67      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-30196.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     300000 | OU      | $3887.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                | RGA Global Funding                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4853302.91   | 0.28%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $169.26       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317U9EKA9 PIMCO SWAPTION 2.36 PUT EUR 20250630                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    -800000 | NC      | $-0.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIR 2023-1 A PTT                           | United Airlines 2023-1 Class A Pass Through Trust                                | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4489976 | PA      | $4595817.15   | 0.27%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  649900000 | PA      | $4145498.48   | 0.24%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                       | Citibank NA                                                                      | CUSIP: 17325FBA5<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3106009.69   | 0.18%             | 2025-09-29      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3980 | PA      | $3981.37      | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10384 | PA      | $10663.48     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |          1 | NC      | $2945.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-6.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $486.27       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $1593.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3575 | PA      | $3670.34      | 0.00%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                     | Resloc UK 2007-1 PLC                                                             | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |    1253923 | PA      | $1448402.48   | 0.08%             | 2043-12-15      | Floating      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1600000 | PA      | $1608208.29   | 0.09%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1219824 | PA      | $1180371.32   | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75375 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-74095.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                        | FHLMC-GNMA                                                                       | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2820 | PA      | $2826.95      | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                  | Peruvian Government International Bond                                           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5684000 | PA      | $1741935.70   | 0.10%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133B9Z23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2371124 | PA      | $2056783.36   | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                              | WEC Energy Group Inc                                                             | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    2873000 | PA      | $2515956.12   | 0.15%             | 2030-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BARCLAYS BANK PLC SNR SE ICE                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3500000 | OU      | $15062.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17921 | PA      | $17879.92     | 0.00%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9MPA6 PIMCO SWAPTION 3.933 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-839.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7300000 | PA      | $6536921.88   | 0.38%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EPH FIN INTERNATIONAL AS                          | EPH Financing International AS                                                   | CUSIP: 000000000<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |    3300000 | PA      | $4221376.12   | 0.25%             | 2028-11-13      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    6130464 | PA      | $7330742.87   | 0.43%             | 2028-05-15      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410MJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $351.18       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5490 | PA      | $5537.26      | 0.00%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9LLA2 PIMCO SWAPTION 4.095 PUT USD 2025071                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-273.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                          | Principal Life Global Funding II                                                 | CUSIP: 74256LEW5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6497388.51   | 0.38%             | 2028-06-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   88100000 | PA      | $76246412.82  | 4.46%             | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9HMA0 PIMCO SWAPTION 4.019 PUT USD 2025070                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-24.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4600000 | PA      | $2702859.35   | 0.16%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-124454.48   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $-63815.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $299.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $9028706.72   | 0.53%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5823 | PA      | $5863.56      | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.25000 09/17/25-30Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   24200000 | OU      | $2994318.56   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments Trust 2002-AR3                             | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5976 | PA      | $5787.28      | 0.00%             | 2032-09-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                             | CDX ITRAXX XOV42 5Y 35-100% SP BPS                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |    5414278 | OU      | $1165539.07   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H060689<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9800000 | PA      | $9933580.96   | 0.58%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U9MOA7 PIMCO SWAPTION 3.605 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-2352.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U8R0A3 PIMCO SWAPTION 3.45 CALL USD 2025071                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   85700000 | NC      | $7061.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211C5D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        450 | PA      | $451.66       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2573.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26294 | PA      | $25165.31     | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-220745.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15300000 | PA      | $14647768.34  | 0.86%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $4589.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $82928.31     | 0.00%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   34666000 | OU      | $-530046.61   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     411672 | PA      | $357136.45    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   33230000 | OU      | $3652312.62   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X5VG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20092 | PA      | $19536.55     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7500000 | PA      | $4809203.55   | 0.28%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3342 | PA      | $3360.58      | 0.00%             | 2030-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.00000 03/19/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $-14927.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26200000 | PA      | $20056304.62  | 1.17%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                | Bank of America NA                                                               | CUSIP: 06428CAB0<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4227125.03   | 0.25%             | 2026-08-18      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77872 | PA      | $80033.50     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-282.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ID        |          1 | NC      | $32.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U8R1A2 PIMCO SWAPTION 3.515 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -10200000 | NC      | $-19601.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9255 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6000000 | OU      | $-3153.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |    5264090 | PA      | $4747052.69   | 0.28%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1900000 | OU      | $-15006.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                         | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3626432.83   | 0.21%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                            | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     900000 | PA      | $890460.00    | 0.05%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4432215 | PA      | $4442195.70   | 0.26%             | 2073-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9IFA6 PIMCO SWAPTION 3.68 CALL USD 2025070                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-2244.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403BF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27359 | PA      | $27617.90     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-2522.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4900000 | PA      | $3991877.37   | 0.23%             | 2054-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $39094.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $5546.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $2650.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $74905.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                               | Virgin Money UK PLC                                                              | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $681174.16    | 0.04%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                          | CUSIP: 110122ED6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4515188.00   | 0.26%             | 2026-02-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EH7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9500 | PA      | $9378.95      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111796 | PA      | $101884.18    | 0.01%             | 2033-08-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |          1 | NC      | $220470.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797LW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     274000 | PA      | $273713.21    | 0.02%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9EOA5 PIMCO SWAPTION 4.101 PUT USD 2025063                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1100000 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -18 | NC      | $-91010.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    9000000 | PA      | $5877167.85   | 0.34%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406ABS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9107 | PA      | $9347.47      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-82351.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                          | Western Midstream Operating LP                                                   | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     400000 | PA      | $418914.38    | 0.02%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                            | Extra Space Storage LP                                                           | CUSIP: 30225VAM9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    2600000 | PA      | $2571728.74   | 0.15%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9EHA3 PIMCO SWAPTION 3.735 CALL USD 202506                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1700000 | NC      | $-7124.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U8RKA1 PIMCO SWAPTION 3.5 CALL USD 20250721                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   96300000 | NC      | $13520.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5162 | PA      | $5110.00      | 0.00%             | 2036-05-01      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XVII Ltd                                                                    | CUSIP: 67111NAQ7<br>LEI: 549300EERMFPZ487P195 | Long             | ABS-CBDO         | CORP              | KY        |     230623 | PA      | $230804.87    | 0.01%             | 2030-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 03/20/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    7300000 | OU      | $189979.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.3537 05/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4600000 | OU      | $5665.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERAT RABOBANK UA/NY                           | Cooperatieve Rabobank UA/NY                                                      | CUSIP: 21688AAW2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     300000 | PA      | $300152.67    | 0.02%             | 2025-07-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212CYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1501 | PA      | $1503.35      | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.15600 03/10/28-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27580000 | OU      | $579905.35    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JAK9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4348804.40   | 0.25%             | 2027-11-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                        | CUSIP: 891160TD5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    3400000 | PA      | $3416978.55   | 0.20%             | 2026-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2335355.14   | 0.14%             | 2027-08-07      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625730 | PA      | $207075.16    | 0.01%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-46611.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EAE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1245 | PA      | $1286.23      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5073990 | PA      | $3759737.06   | 0.22%             | 2037-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36208YY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4743 | PA      | $4772.87      | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31348SWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        679 | PA      | $678.57       | 0.00%             | 2028-01-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4      | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1379008 | PA      | $1114612.61   | 0.07%             | 2036-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $145438.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136552 | PA      | $137543.80    | 0.01%             | 2034-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-15562.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22508 | PA      | $22931.61     | 0.00%             | 2032-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31358SNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $98.43        | 0.00%             | 2030-10-18      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55615 | PA      | $56086.29     | 0.00%             | 2035-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-20265.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9328 | PA      | $9022.42      | 0.00%             | 2035-06-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |    1800000 | PA      | $1731143.16   | 0.10%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-90936.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $67.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | XX        |          1 | NC      | $942654.94    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-40363.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N0XN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     925376 | PA      | $887266.63    | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        291 | PA      | $290.08       | 0.00%             | 2026-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                             | Entergy Louisiana LLC                                                            | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $6658877.07   | 0.39%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                       | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    2900000 | PA      | $2128995.04   | 0.12%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JPJZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15372 | PA      | $14947.48     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | NZ        |          1 | NC      | $1672.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8085001 | PA      | $1806608.74   | 0.11%             | 2036-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3515147 | PA      | $3451123.40   | 0.20%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                   | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12338 | PA      | $12391.91     | 0.00%             | 2045-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR5                                       | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16819 | PA      | $15829.13     | 0.00%             | 2045-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2016-3 Ltd                                  | CUSIP: 14311UBA5<br>LEI: 5493000C19IMTVUCMB96 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6006919.32   | 0.35%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                 | CI Financial Corp                                                                | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2533447.08   | 0.15%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406EW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15995 | PA      | $16576.32     | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4643442.58   | 0.27%             | 2027-04-23      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-56565.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13488500 | PA      | $10693649.08  | 0.63%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-163.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210B3T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15975 | PA      | $16020.63     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -6 | NC      | $-989.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KTR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.04         | 0.00%             | 2025-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412PCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6896 | PA      | $6850.59      | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EG2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316388 | PA      | $324774.96    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Stepstone Group MidCo 2 GmbH/The                  | Stepstone Group MidCo 2 GmbH/TheUSD Term Loan B                                  | CUSIP: 000000000<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | DE        |     500000 | PA      | $496875.00    | 0.03%             | 2031-12-19      | Floating      | 8.65%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25372 | PA      | $24993.24     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                          | FBR Securitization Trust 2005-2                                                  | CUSIP: 30246QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20027155 | PA      | $19639222.70  | 1.15%             | 2035-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12005 | PA      | $11912.54     | 0.00%             | 2034-09-01      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                         | Avoca CLO XVII DAC                                                               | CUSIP: 000000000<br>LEI: 635400OUIIBSBWG9WH80 | Long             | ABS-CBDO         | CORP              | IE        |    5339843 | PA      | $6285354.79   | 0.37%             | 2032-10-15      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4117507.33   | 0.24%             | 2028-07-22      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $668.03       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     395974 | PA      | $406474.27    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AATL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        572 | PA      | $569.88       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4621921 | PA      | $4635670.97   | 0.27%             | 2039-06-17      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XFF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10722 | PA      | $10749.40     | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                | UBS AG/Stamford CT                                                               | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    2000000 | PA      | $2158033.02   | 0.13%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211KPY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11256 | PA      | $11312.85     | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $6951615.12   | 0.41%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3434853.77   | 0.20%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     900000 | PA      | $849154.05    | 0.05%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KU45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.29         | 0.00%             | 2025-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7U87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2365 | PA      | $2428.18      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $605164.16    | 0.04%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVELOPERS                     | IRB INFRASTRUCTURE DEVELOPERS                                                    | CUSIP: 000000000<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |    2500000 | PA      | $2509342.10   | 0.15%             | 2032-03-11      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89548 12/23/24-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8469000 | OU      | $32814.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2960 | PA      | $3025.27      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $3016289.05   | 0.18%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8605 | PA      | $9087.29      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IN        |          1 | NC      | $4410.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3129354W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36125 | PA      | $36995.40     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1472102 | PA      | $1450333.49   | 0.08%             | 2040-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409G4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8163 | PA      | $8370.48      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $15225.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAAC Series                                       | RAAC Series 2007-SP2 Trust                                                       | CUSIP: 74919XAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1190663 | PA      | $1163964.88   | 0.07%             | 2047-06-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                      | AES Corp/The                                                                     | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4088604.72   | 0.24%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                             | Rio Oil Finance Trust Series 2014-3                                              | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1458627 | PA      | $1510081.72   | 0.09%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335633 | PA      | $347030.30    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DQRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4003396 | PA      | $3974380.81   | 0.23%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7628040 | PA      | $5574072.30   | 0.33%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TW        |          1 | NC      | $6425.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-84713.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54805 | PA      | $53291.22     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15200 | PA      | $15464.99     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54359 | PA      | $54643.71     | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $8185315.52   | 0.48%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U8PWA2 PIMCO SWAPTION 3.519 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -5900000 | NC      | $-8002.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5592 | PA      | $5637.54      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-1664.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412ER24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31709 | PA      | $32634.93     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                | Essex Portfolio LP                                                               | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |     500000 | PA      | $495136.49    | 0.03%             | 2026-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                             | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6578042.77   | 0.38%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1743281 | PA      | $1743543.35   | 0.10%             | 2038-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $620.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11900000 | OU      | $1385480.11   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AR6                                           | CUSIP: 17309RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301593 | PA      | $274279.23    | 0.02%             | 2036-08-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2512 | PA      | $2522.53      | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                  | Lseg US Fin Corp                                                                 | CUSIP: 50222CAA8<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3638424.24   | 0.21%             | 2027-03-28      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $5613.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                    | PEAC Solutions Receivables 2025-1 LLC                                            | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2409790.56   | 0.14%             | 2028-10-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3620C0WS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16492 | PA      | $16646.06     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2120437.75   | 0.12%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                            | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     104166 | PA      | $107548.98    | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9O7A2 PIMCO SWAPTION 3.525 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -500000 | NC      | $-1654.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412XES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        636 | PA      | $664.74       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                          | Pioneer Natural Resources Co                                                     | CUSIP: 723787AV9<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2311366.19   | 0.14%             | 2026-03-29      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXIX CLO Ltd                                                             | CUSIP: 92331EAF3<br>LEI: 549300ITFR7G25007V93 | Long             | ABS-CBDO         | CORP              | KY        |      59976 | PA      | $60024.10     | 0.00%             | 2030-09-07      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   26900000 | PA      | $7844168.18   | 0.46%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        385 | PA      | $385.11       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |          1 | NC      | $7360.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2732 | PA      | $2813.46      | 0.00%             | 2034-01-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust 2023-RPL3                                      | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3703629 | PA      | $3320950.45   | 0.19%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102922.69    | 0.01%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                           | New York State Electric & Gas Corp                                               | CUSIP: 649840CT0<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $6179032.58   | 0.36%             | 2031-10-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2646015.48   | 0.15%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                       | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2276197.18   | 0.13%             | 2030-02-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296QRY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3236 | PA      | $3279.21      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9J0A0 PIMCO SWAPTION 3.775 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-10649.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |     418000 | OU      | $30796.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413ALS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9523 | PA      | $9769.61      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6004094 | PA      | $6009382.71   | 0.35%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $5951104.90   | 0.35%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| IMC Home Equity Loan Trust                        | Imc Home Equity Loan Trust 1998-3                                                | CUSIP: 449670EQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        228 | PA      | $226.07       | 0.00%             | 2029-08-20      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     946401 | PA      | $359494.46    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                       | Federal Home Loan Mortgage Corp                                                  | CUSIP: 3134GWJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   35600000 | PA      | $35467496.09  | 2.07%             | 2025-08-06      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     456578 | PA      | $475491.94    | 0.03%             | 2034-11-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RESOURCES                           | Canadian Natural Resources Ltd                                                   | CUSIP: 136385AE1<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    2600000 | PA      | $2774148.55   | 0.16%             | 2033-06-30      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-848.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    6900000 | PA      | $6890576.81   | 0.40%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.76473 12/17/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $61260.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4699036.67   | 0.27%             | 2028-05-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                            | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4068340.56   | 0.24%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405JRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9999 | PA      | $10255.65     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $490488.28    | 0.03%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $5356.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617L7K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     608923 | PA      | $571957.76    | 0.03%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         55 | NC      | $50631.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-CNP                                          | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4282047.77   | 0.25%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                             | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $5730399.95   | 0.34%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28949 | PA      | $30364.50     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust       | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4525547.39   | 0.26%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | SG        |          1 | NC      | $21323.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $2905.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413FLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     165854 | PA      | $173435.64    | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10349052 | PA      | $5643041.87   | 0.33%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4958447 | PA      | $4538021.23   | 0.27%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-63508.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8023 | PA      | $8415.23      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.93000 03/24/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2700000 | OU      | $-56682.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213DCU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        332 | PA      | $332.01       | 0.00%             | 2031-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-77836.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.61000 03/24/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $1063.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $393.84       | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3021047.67   | 0.18%             | 2026-07-10      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137HHBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2644597 | PA      | $2627444.42   | 0.15%             | 2054-05-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-11.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite XXV Ltd                                                                | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |    1976710 | PA      | $1979700.96   | 0.12%             | 2032-01-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UGZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        597 | PA      | $599.11       | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5272 | PA      | $5257.15      | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3492701 | PA      | $3394545.40   | 0.20%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $4690.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                          | Toyota Motor Credit Corp                                                         | CUSIP: 89236TNJ0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3150511.59   | 0.18%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                 | CUSIP: 87264ADL6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3973387.40   | 0.23%             | 2029-10-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/17/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37600000 | OU      | $-623761.44   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $2803.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24523 | PA      | $24120.73     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    6200000 | OU      | $-301987.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                               | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    5100000 | PA      | $5108306.63   | 0.30%             | 2028-09-11      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     800000 | PA      | $685994.64    | 0.04%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412SYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2140 | PA      | $2237.78      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6831589 | PA      | $1388169.42   | 0.08%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | NO        |          1 | NC      | $-81.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XJNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1977262 | PA      | $1860753.13   | 0.11%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-183777.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3310191.16   | 0.19%             | 2027-05-21      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | MX        |          1 | NC      | $3449.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                | BMW US Capital LLC                                                               | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3541109.36   | 0.21%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                | Ally Financial Inc                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $4013573.49   | 0.23%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | PL        |          1 | NC      | $62244.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7042 | PA      | $7051.21      | 0.00%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52982 | PA      | $55571.52     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Trust 2024-3                                                      | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1789983 | PA      | $1802292.74   | 0.11%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $-373.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-128981.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUE OWL FINANCE LLC                              | Blue Owl Finance LLC                                                             | CUSIP: 09581JAT3<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3088528.05   | 0.18%             | 2034-04-18      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9271 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   58300000 | OU      | $-30389.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2966301.13   | 0.17%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $166.42       | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4772833 | PA      | $4780641.74   | 0.28%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  120800000 | PA      | $6388200.55   | 0.37%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9IEA7 PIMCO SWAPTION 4.03 PUT USD 20250707                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-9.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |          1 | NC      | $84.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7200 | PA      | $7253.93      | 0.00%             | 2032-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12032 | PA      | $11936.96     | 0.00%             | 2035-07-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                  | Kilroy Realty LP                                                                 | CUSIP: 49427RAL6<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |    2600000 | PA      | $2595883.99   | 0.15%             | 2025-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $108718.32    | 0.01%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | CN        |          1 | NC      | $583.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |   28300000 | OU      | $-976776.55   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413RJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61109 | PA      | $64484.59     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $10632.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    8000000 | PA      | $9615466.21   | 0.56%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1523 | PA      | $1515.82      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133BLAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     901566 | PA      | $864769.30    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4041328.88   | 0.24%             | 2029-07-09      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $237.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $13962.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-66697.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668BW1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6335564.80   | 0.37%             | 2028-09-12      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                  | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4500000 | PA      | $4579179.08   | 0.27%             | 2028-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001747 | PA      | $809212.53    | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | 31750QN05 PIMCO CDSOPT PUT USD 0.85 20250716                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |   -2800000 | NC      | $-200.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IN        |          1 | NC      | $3895.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/08/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $-9218.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.64159 04/07/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1500000 | OU      | $71725.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5146465 | PA      | $5129092.53   | 0.30%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1270498 | PA      | $1270346.59   | 0.07%             | 2065-08-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2676905 | PA      | $2716216.26   | 0.16%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4350366.55   | 0.25%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-203638.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411VQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17097 | PA      | $17381.64     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1753495.58   | 0.10%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2005-4                                                    | CUSIP: 45254NPA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15931 | PA      | $15307.24     | 0.00%             | 2035-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2867209 | PA      | $2897925.84   | 0.17%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     532184 | PA      | $512758.61    | 0.03%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust Series 2008-R4                                  | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     842860 | PA      | $414039.18    | 0.02%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.46000 03/13/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $-12047.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley Capital I Inc Trust 2006-HE2                                      | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1268889 | PA      | $1058604.95   | 0.06%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 09/17/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $751195.64    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL OPTION  AUG25P 117.2 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -5 | NC      | $-1060.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-14225.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60000 | PA      | $54556.07     | 0.00%             | 2054-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XS4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138131 | PA      | $134455.20    | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1437084 | PA      | $1190486.09   | 0.07%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030686<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   99000000 | PA      | $85656647.34  | 5.01%             | 2055-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QN80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30583 | PA      | $31979.51     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-21677.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $42.78        | 0.00%             | 2025-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419DHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6642 | PA      | $6736.98      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9GFA0 PIMCO SWAPTION 3.725 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-6389.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2624939.46   | 0.15%             | 2027-01-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-648212.09   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CCY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        715 | PA      | $718.41       | 0.00%             | 2027-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |     120369 | PA      | $108543.07    | 0.01%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-9841.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9O6A3 PIMCO SWAPTION 3.875 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -500000 | NC      | $-1275.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                | Regency Centers LP                                                               | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |    3500000 | PA      | $3491903.73   | 0.20%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5448494 | PA      | $4447035.30   | 0.26%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4394599.57   | 0.26%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $51.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                                            | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    7900000 | PA      | $6858425.29   | 0.40%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| CBL & Associates Properties Inc                   | CBL & Associates Properties Inc                                                  | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               |  | US        |       9021 | NS      | $229043.19    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs International                       | SOFTBANK GROUP CORP SNR JP SP GST                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    1000000 | OU      | $-4673.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $2592428.86   | 0.15%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2839190 | PA      | $2827539.81   | 0.17%             | 2031-12-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1501 | PA      | $1512.00      | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $11785.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                         | CUSIP: 75513ECT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3158292.80   | 0.18%             | 2026-11-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |     525447 | PA      | $525405.69    | 0.03%             | 2030-11-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1371 | PA      | $1366.58      | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1798 | PA      | $1795.12      | 0.00%             | 2030-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-144467.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4082329.68   | 0.24%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $8526.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                    | DEUTSCHE BANK REPO                                                               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |    4700000 | PA      | $4700000.00   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $102.29       | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9MJA3 PIMCO SWAPTION 4.05 PUT USD 20250721                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -500000 | NC      | $-225.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4853708.00   | 0.28%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2088.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3159.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21300000 | OU      | $164936.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2362282 | PA      | $2328840.86   | 0.14%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-10644.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  189800000 | OU      | $116748.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-OPT1 Trust                                                             | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3171177 | PA      | $2997143.05   | 0.18%             | 2035-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3113602 | PA      | $2361353.61   | 0.14%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5707905 | PA      | $5806692.01   | 0.34%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9G6A0 PIMCO SWAPTION 4.065 PUT USD 2025070                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-0.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         73 | NC      | $197223.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9HNA9 PIMCO SWAPTION 3.669 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-3977.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                        | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3032938.90   | 0.18%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                   | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12265 | PA      | $12365.40     | 0.00%             | 2045-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $1845.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1479765.62   | 0.09%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1182102 | PA      | $1182276.84   | 0.07%             | 2065-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212J5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8382 | PA      | $8393.39      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG43 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    5500000 | OU      | $123857.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NO        |          1 | NC      | $152.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410RJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        991 | PA      | $1019.86      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416B6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133621 | PA      | $138654.28    | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS                            | Federation des Caisses Desjardins du Quebec                                      | CUSIP: 31429KAG8<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    7000000 | PA      | $6994244.39   | 0.41%             | 2025-08-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2352 | PA      | $2344.58      | 0.00%             | 2029-12-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NQEE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392888 | PA      | $394668.12    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A95X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11391 | PA      | $11330.92     | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAQ1<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |    5900000 | PA      | $5914329.09   | 0.35%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9GEA1 PIMCO SWAPTION 4.075 PUT USD 2025070                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-1.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-941716.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9MQA5 PIMCO SWAPTION 3.583 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-2461.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29382 | PA      | $30512.96     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                  | Marathon CLO XIII Ltd                                                            | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3690728 | PA      | $3696247.95   | 0.22%             | 2032-04-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3297.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1008 | PA      | $1034.95      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        719 | PA      | $718.95       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211PF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2664 | PA      | $2672.62      | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                      | KBC Group NV                                                                     | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    2600000 | PA      | $2685508.59   | 0.16%             | 2029-01-19      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NFCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     727390 | PA      | $715875.97    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                               | FS KKR Capital Corp                                                              | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3898495.47   | 0.23%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                    | CarVal CLO I Ltd                                                                 | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4015809 | PA      | $4021832.39   | 0.24%             | 2031-07-16      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762883 | PA      | $757457.87    | 0.04%             | 2042-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7700000 | PA      | $4832652.36   | 0.28%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  174800000 | PA      | $171218267.59 | 10.02%            | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-10                                                 | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     532863 | PA      | $505409.96    | 0.03%             | 2036-01-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-9630.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $1027118.66   | 0.06%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                   | Allegro CLO XI Ltd                                                               | CUSIP: 01750HAQ5<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |    4400000 | PA      | $4403904.69   | 0.26%             | 2033-01-19      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| LFT CRE LLC                                       | LFT CRE 2021-FL1 Ltd                                                             | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2149775 | PA      | $2154596.95   | 0.13%             | 2039-06-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $1558.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $5000.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213UDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15036 | PA      | $15070.29     | 0.00%             | 2031-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                      | CUSIP: 38145GAM2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2904101.06   | 0.17%             | 2026-08-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust         | SFS Auto Receivables Securitization Trust 2024-1                                 | CUSIP: 78435VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     326737 | PA      | $326925.41    | 0.02%             | 2027-06-21      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.2914 05/08/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   38500000 | OU      | $59112.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23062002 | PA      | $21500999.27  | 1.26%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U8RLA0 PIMCO SWAPTION 3.489 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |  -11500000 | NC      | $-22113.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $8224.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  332000000 | PA      | $1855287.12   | 0.11%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317U9ELA8 PIMCO SWAPTION 2.1 CALL EUR 20250630                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |    -800000 | NC      | $-0.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                    | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6082656.02   | 0.36%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91121 | PA      | $92103.18     | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    2300000 | PA      | $2314127.18   | 0.14%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $-16813.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14732 | PA      | $15122.88     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                 | CUSIP: 000000000<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $5385540.01   | 0.32%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1667762 | PA      | $914123.02    | 0.05%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-HYB1                                        | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242478 | PA      | $232204.73    | 0.01%             | 2034-05-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131WUAH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $244.08       | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417VX57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44738 | PA      | $45032.59     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4639 | PA      | $4664.89      | 0.00%             | 2036-01-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CN        |          1 | NC      | $11799.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-514.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7200000 | OU      | $-144198.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2718.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CN        |          1 | NC      | $3940.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |          1 | NC      | $5039.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-49354.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TH        |          1 | NC      | $3404.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $194.15       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 14.0087 05/12/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3900000 | OU      | $-906.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688081 | PA      | $64509.28     | 0.00%             | 2036-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7525* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-73540.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36176ARS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37125 | PA      | $37471.62     | 0.00%             | 2041-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        470 | PA      | $468.58       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $-6337.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $107513.96    | 0.01%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-42435.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402E2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        640 | PA      | $647.76       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409T6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4956 | PA      | $5094.74      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-1                                    | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3264576 | PA      | $3271407.81   | 0.19%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-9597.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-137021.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    6700000 | PA      | $6740334.27   | 0.39%             | 2028-08-22      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | TW        |          1 | NC      | $1001.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U8D2A2 PIMCO SWAPTION 3.7 CALL USD 20250813                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   24100000 | NC      | $23849.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U8COA0 PIMCO SWAPTION 3.65 CALL USD 2025081                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  125700000 | NC      | $97769.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        810 | PA      | $827.81       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2600000 | PA      | $1200861.04   | 0.07%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2284901.21   | 0.13%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                              | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6208696 | PA      | $5826887.56   | 0.34%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4600000 | PA      | $4675387.28   | 0.27%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3136431 | PA      | $3173641.94   | 0.19%             | 2072-12-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295YXW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23508 | PA      | $23624.11     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10526 | PA      | $11040.00     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12172 | PA      | $12538.22     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31377CRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186433 | PA      | $183822.95    | 0.01%             | 2036-05-01      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47600000 | PA      | $39394578.24  | 2.30%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                      | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |    4032720 | PA      | $4745001.26   | 0.28%             | 2034-05-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ID        |          1 | NC      | $49.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $21732.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending             | Cantor Commercial Real Estate Lending 2019-CF2                                   | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6200000 | PA      | $5763477.22   | 0.34%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3600000 | PA      | $3398504.00   | 0.20%             | 2028-09-30      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | KR        |          1 | NC      | $1376.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36205MNK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3868 | PA      | $3881.07      | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3469 | PA      | $3485.36      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412T6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5496 | PA      | $5653.26      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KTG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.22        | 0.00%             | 2025-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000                                     | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |     456000 | OU      | $31933.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $206.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5640127.20   | 0.33%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81858 | PA      | $82588.23     | 0.00%             | 2044-10-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3243 | PA      | $3247.24      | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408FAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8694 | PA      | $8890.04      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                       | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1667669.23   | 0.10%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-3400.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO                          | Flex Intermediate Holdco LLC                                                     | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1245054.69   | 0.07%             | 2031-06-30      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310501 | PA      | $306946.98    | 0.02%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     200000 | PA      | $185263.42    | 0.01%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5900000 | PA      | $5271742.16   | 0.31%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                               | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2144882.00   | 0.13%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        457 | PA      | $455.71       | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-1667.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TW        |          1 | NC      | $25021.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-939.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3836.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36206MNE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1658 | PA      | $1665.99      | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9M4A9 PIMCO SWAPTION 3.637 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-6516.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | T-MOBILE USA INC SNR S* ICE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2400000 | OU      | $322441.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | PAGAYA AI Debt Trust 2022-3                                                      | CUSIP: 69547MAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        722 | PA      | $723.04       | 0.00%             | 2030-03-15      | Variable      | 8.05%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338924 | PA      | $217061.80    | 0.01%             | 2035-09-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $836519.53    | 0.05%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.5281 06/18/24-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   32900000 | OU      | $-201725.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     739591 | PA      | $622326.30    | 0.04%             | 2046-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $2219.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1900000 | PA      | $2035401.60   | 0.12%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407ME76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12568 | PA      | $12832.94     | 0.00%             | 2035-09-01      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ID        |          1 | NC      | $-85.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67643 | PA      | $68066.92     | 0.00%             | 2042-08-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  310000000 | OU      | $-761529.67   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  225200000 | PA      | $224998932.43 | 13.16%            | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411WTX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3836 | PA      | $3948.07      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | AT&T INC SNR S* ICE                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    6000000 | OU      | $96428.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296RZS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        997 | PA      | $1008.54      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.32 05/08/25-01/02/29 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3400000 | OU      | $5826.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2100000 | OU      | $-28699.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | JP        |          1 | NC      | $16422.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89900 03/11/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-25949.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2017-1 Ltd                                                              | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |     730051 | PA      | $730522.31    | 0.04%             | 2030-04-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XLXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54110 | PA      | $53932.28     | 0.00%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.54841 06/13/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   90700000 | OU      | $-547693.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.75000 03/19/25-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $189877.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2642306.08   | 0.15%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7808 | PA      | $8199.77      | 0.00%             | 2030-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $93854.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20900000 | PA      | $18267906.25  | 1.07%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415TFV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7298 | PA      | $7654.82      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1559685 | PA      | $1239431.06   | 0.07%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        756 | PA      | $768.25       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18400000 | PA      | $17110763.34  | 1.00%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292FC39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1029 | PA      | $1036.42      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.65471 04/07/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $31862.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5967 | PA      | $6169.11      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SG        |          1 | NC      | $3038.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15031 | PA      | $15492.28     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419BWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        176 | PA      | $175.54       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412NBF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        448 | PA      | $467.96       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    6500000 | PA      | $6508572.01   | 0.38%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3518 | PA      | $3616.65      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-119193.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | SG        |          1 | NC      | $126600.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TH        |          1 | NC      | $2019.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31384VT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $91.20        | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4435188.16   | 0.26%             | 2026-12-11      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11490000 | OU      | $-102878.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-133880.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-338.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3780000 | PA      | $3676832.84   | 0.22%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NG58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16976 | PA      | $16967.20     | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139106 | PA      | $143363.50    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9MKA1 PIMCO SWAPTION 3.7 CALL USD 20250721                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -500000 | NC      | $-3866.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AEKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3240 | PA      | $3150.69      | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $13421.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        992 | PA      | $992.75       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3193 | PA      | $3198.41      | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Trust 2005-5                                    | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2106961 | PA      | $1061909.08   | 0.06%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-1                                                 | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3298378 | PA      | $3140980.25   | 0.18%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING 1                           | Pricoa Global Funding I                                                          | CUSIP: 74153WCR8<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4496451.48   | 0.26%             | 2025-08-28      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-3.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $24.81        | 0.00%             | 2025-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U88WA0 PIMCO SWAPTION 3.7075 CALL USD 20250                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  -22800000 | NC      | $-231971.76   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                           | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $3933465.12   | 0.23%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-9.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3565091 | PA      | $3323839.84   | 0.19%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412STL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3933 | PA      | $4057.95      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                 | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    7900000 | PA      | $6875839.26   | 0.40%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9G7A9 PIMCO SWAPTION 3.715 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-5376.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9JRA1 PIMCO SWAPTION 4.12 PUT USD 20250709                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -500000 | NC      | $-7.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416HWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37553 | PA      | $38070.64     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF14                                     | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13900000 | PA      | $11353556.14  | 0.66%             | 2036-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209Y6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2254 | PA      | $2257.73      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4850966.64   | 0.28%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                                | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2514942.25   | 0.15%             | 2028-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16022 | PA      | $16268.62     | 0.00%             | 2033-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 1.00000 05/18/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   29000000 | OU      | $-635263.60   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-1448.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   55000000 | PA      | $2708288.23   | 0.16%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $8984.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4217 | PA      | $4405.35      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2138 | PA      | $2140.95      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        989 | PA      | $1019.31      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418XEC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.36         | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-8631.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U9LFA9 PIMCO SWAPTION 2.46 CALL EUR 2025071                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-558.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                              | CUSIP: 744573AY2<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3702421.26   | 0.22%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4427192.66   | 0.26%             | 2028-01-14      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $4522.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JWBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1159016 | PA      | $1184265.97   | 0.07%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |    2156373 | PA      | $2157877.00   | 0.13%             | 2029-10-19      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16350 | PA      | $16420.50     | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394FU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        955 | PA      | $84.70        | 0.00%             | 2035-10-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78221 | PA      | $82046.47     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1280 | PA      | $1292.01      | 0.00%             | 2034-12-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7201330.56   | 0.42%             | 2054-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5390359.18   | 0.32%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10681248 | PA      | $5058414.52   | 0.30%             | 2037-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47699 | PA      | $49023.45     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -225 | NC      | $250760.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6D4<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2735039.33   | 0.16%             | 2026-08-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1937.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     537679 | PA      | $30454.06     | 0.00%             | 2035-05-25      | Floating      | 0.57%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42100000 | PA      | $42744236.09  | 2.50%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9LMA1 PIMCO SWAPTION 3.695 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1300000 | NC      | $-9035.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-78445.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/2.74040 03/10/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $12039.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                 | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $6932789.28   | 0.41%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                          | Banco Bilbao Vizcaya Argentaria SA                                               | CUSIP: 05946KAJ0<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    3400000 | PA      | $3374888.86   | 0.20%             | 2025-09-18      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     376598 | PA      | $387199.65    | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QQKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     909005 | PA      | $871665.62    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LAP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49623 | PA      | $50818.16     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407BY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72445 | PA      | $72684.36     | 0.00%             | 2035-07-01      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TW        |          1 | NC      | $48034.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $54.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391KGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3504 | PA      | $3508.32      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CGN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2206 | PA      | $2204.59      | 0.00%             | 2028-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                            | Mutual of Omaha Cos Global Funding                                               | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1931359.10   | 0.11%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                           | Corebridge Global Funding                                                        | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1418098.58   | 0.08%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    7300000 | OU      | $72349.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82415 | PA      | $84669.39     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAE0<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4512012.89   | 0.26%             | 2027-03-18      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $5809.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                           | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1803005.64   | 0.11%             | 2035-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2364 | PA      | $2388.91      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     800000 | PA      | $844024.46    | 0.05%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1528 | NC      | $2805782.81   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | 317U9N2A9 PIMCO SWAPTION 3.564 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-1907.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9N3A8 PIMCO SWAPTION 3.905 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -500000 | NC      | $-923.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1171.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138MDJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123614 | PA      | $121050.77    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4400000 | PA      | $4445472.46   | 0.26%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                          | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    6800000 | PA      | $6791138.65   | 0.40%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5807 | PA      | $5890.00      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-453.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                   | CUSIP: 92922F8M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     226107 | PA      | $219485.88    | 0.01%             | 2036-01-25      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797NX1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     364000 | PA      | $363915.35    | 0.02%             | 2025-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4517920 | PA      | $3276368.75   | 0.19%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2025.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $302.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    5600000 | PA      | $1550183.05   | 0.09%             | 2018-01-15      | None          | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-P2                                    | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4837000 | PA      | $4808339.32   | 0.28%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U9GBA4 PIMCO SWAPTION 2.38 CALL EUR 2025070                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-2.53        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                     | CUSIP: 456837BJ1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    4700000 | PA      | $4758736.79   | 0.28%             | 2027-09-11      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                    | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $8137460.18   | 0.48%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1600000 | OU      | $-4935.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                | CUSIP: 862121AA8<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |    7600000 | PA      | $7526091.14   | 0.44%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2003-5                                                    | CUSIP: 07384MWN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356032 | PA      | $329612.56    | 0.02%             | 2033-08-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86432 | PA      | $87513.95     | 0.01%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2087272 | PA      | $2091356.00   | 0.12%             | 2066-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CN        |          1 | NC      | $2767.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10189 | PA      | $10759.74     | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.09500 02/18/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     280000 | OU      | $-9688.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-16516.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-134.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1152 | PA      | $1167.34      | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4900000 | PA      | $4771949.23   | 0.28%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334632 | PA      | $344466.93    | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CN        |          1 | NC      | $3547.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JHDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     656838 | PA      | $672391.69    | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT SEP25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        202 | NC      | $156966.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 12/21/22-30Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11600000 | OU      | $4288589.60   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11119 | PA      | $11245.62     | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1                    | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2970638 | PA      | $2186281.56   | 0.13%             | 2060-09-25      | Variable      | 13.42%                | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-22728.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2619819 | PA      | $2621769.81   | 0.15%             | 2032-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-100452.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $5892779.20   | 0.34%             | 2049-10-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9LHA7 PIMCO SWAPTION 3.697 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -500000 | NC      | $-3374.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7652 | PA      | $7662.56      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9N4A7 PIMCO SWAPTION 3.555 CALL USD 202507                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -500000 | NC      | $-1803.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $4246.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317U9JQA2 PIMCO SWAPTION 3.77 CALL USD 2025070                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    -500000 | NC      | $-4566.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18928 | PA      | $18852.54     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.69392 09/03/24-7Y* CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   14425000 | OU      | $-169320.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31380AMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        928 | PA      | $959.05       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37900000 | OU      | $-266611.34   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-86172.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400RV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7373 | PA      | $7633.66      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pacific Life U.S. Government Fund Direct          | Pacific Life U.S. Government Fund Direct                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     919962 | NS      | $919961.92    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $2.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405VH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10669 | PA      | $10771.95     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NJXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474233 | PA      | $466349.15    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $1722.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    4300000 | PA      | $4403032.64   | 0.26%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | JP        |          1 | NC      | $134.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35003 | PA      | $36710.31     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210TVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8604 | PA      | $8616.30      | 0.00%             | 2029-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385PH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $269.69       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3317757.52   | 0.19%             | 2054-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                               | RMAC Securities No 1 PLC                                                         | CUSIP: 000000000<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    2649794 | PA      | $3580785.28   | 0.21%             | 2044-06-12      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402DLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1454 | PA      | $1500.55      | 0.00%             | 2034-06-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-2256.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-127900.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-INV1                                    | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5616259 | PA      | $4779109.65   | 0.28%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8020425 | PA      | $8006899.03   | 0.47%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 31750QMA4 PIMCO CDSOPT PUT USD 1.0 20250716                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |   -2600000 | NC      | $-161.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NGF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1411866 | PA      | $1387477.66   | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6849 | PA      | $7227.88      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R1                                          | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2445230 | PA      | $2138222.14   | 0.13%             | 2037-12-26      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3044581 | PA      | $2720599.70   | 0.16%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $2578.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295776 | PA      | $226556.92    | 0.01%             | 2046-12-26      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U9JSA0 PIMCO SWAPTION 4.122 PUT USD 2025071                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-33.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7270000 | OU      | $-59679.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      20000 | PA      | $19403.13     | 0.00%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XKZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3285188 | PA      | $3150575.12   | 0.18%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-50593.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2072715.98   | 0.12%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U9MNA8 PIMCO SWAPTION 3.955 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-593.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2686700 | PA      | $2753813.52   | 0.16%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     900000 | PA      | $873855.49    | 0.05%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XQZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2765279 | PA      | $2668728.20   | 0.16%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116585 | PA      | $115898.39    | 0.01%             | 2033-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13500000 | PA      | $11562011.69  | 0.68%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACL9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3101489.86   | 0.18%             | 2025-08-04      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TW        |          1 | NC      | $68394.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                          | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    5900000 | PA      | $5603559.16   | 0.33%             | 2028-07-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TH        |          1 | NC      | $2385.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                   | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1081454 | PA      | $1044863.67   | 0.06%             | 2029-09-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    3543000 | OU      | $18462.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A74F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        448 | PA      | $444.40       | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    4000000 | PA      | $3977676.80   | 0.23%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409EHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17071 | PA      | $17921.83     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1705 | PA      | $1741.61      | 0.00%             | 2034-03-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $11547.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-108114.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                          | Northwestern Mutual Global Funding                                               | CUSIP: 66815L2M0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3775069.93   | 0.22%             | 2028-06-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3851 | PA      | $4038.84      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $131.71       | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295NNJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        759 | PA      | $791.58       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1430 | PA      | $1431.38      | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2881874.97   | 0.17%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-26846.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                    | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    4700000 | PA      | $4933782.75   | 0.29%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97398.39     | 0.01%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                       | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    6620000 | PA      | $6614217.36   | 0.39%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U8CPA9 PIMCO SWAPTION 3.739 CALL USD 202508                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  -14800000 | NC      | $-189706.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248465 | PA      | $251100.14    | 0.01%             | 2042-10-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20700000 | PA      | $20298128.96  | 1.19%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3112.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  480000000 | PA      | $2995637.42   | 0.18%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12100000 | PA      | $11534703.13  | 0.67%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WB2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40326 | PA      | $39226.59     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     371454 | PA      | $340397.68    | 0.02%             | 2044-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.25000 09/17/25-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8620000 | OU      | $-17452.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    7247000 | PA      | $8619588.67   | 0.50%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TW        |          1 | NC      | $23964.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        342 | PA      | $343.57       | 0.00%             | 2027-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                      | CUSIP: 38145GAN0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2902844.58   | 0.17%             | 2026-08-10      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                     | BGC Group Inc                                                                    | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2568077.78   | 0.15%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A9U62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6427 | PA      | $6329.80      | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co                                   | DTE Electric Co                                                                  | CUSIP: 23338VAH9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80786.04     | 0.00%             | 2048-05-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-7                                     | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      64909 | PA      | $64499.02     | 0.00%             | 2047-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-67.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                     | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     768164 | PA      | $769082.34    | 0.04%             | 2034-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3521371.90   | 0.21%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-3                                             | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41294 | PA      | $37061.34     | 0.00%             | 2035-08-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-1563.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6638 | PA      | $6728.43      | 0.00%             | 2033-09-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128L15L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70719 | PA      | $72577.24     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410XYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1744 | PA      | $1808.33      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     703132 | PA      | $726724.57    | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-60506.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $6965.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410PUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3092 | PA      | $3233.19      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1200000 | PA      | $884531.26    | 0.05%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042681<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   84200000 | PA      | $80510953.82  | 4.71%             | 2054-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408AFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3226 | PA      | $3376.05      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-187.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                          | American Airlines 2016-3 Class AA Pass Through Trust                             | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2752138 | PA      | $2607211.78   | 0.15%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-5248.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-6 Ltd                                               | CUSIP: 05684PAL0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2002200.00   | 0.12%             | 2034-10-21      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | CDX ITRAXX XOV42 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    7481548 | OU      | $1610563.08   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7485403 | PA      | $7486126.00   | 0.44%             | 2073-01-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPFL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6040341 | PA      | $5947381.10   | 0.35%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207K6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9967 | PA      | $10066.95     | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8047655 | PA      | $7371182.72   | 0.43%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050676<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -16000000 | PA      | $-15682152.64 | -0.92%            | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27070 | PA      | $27887.73     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.07290 03/01/24-2Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  125700000 | OU      | $104607.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CHTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     296205 | PA      | $306852.58    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26557 | PA      | $26596.27     | 0.00%             | 2031-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1187.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    4300000 | PA      | $4409638.35   | 0.26%             | 2027-10-18      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-134984.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212SLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6311 | PA      | $6408.04      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381464 | PA      | $381332.89    | 0.02%             | 2065-05-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                    | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5148 | PA      | $5137.92      | 0.00%             | 2034-04-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $49325.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    3700000 | PA      | $3790078.87   | 0.22%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48260 | PA      | $49399.52     | 0.00%             | 2035-09-01      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $3828.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                              | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    1200000 | PA      | $909153.66    | 0.05%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1550 | PA      | $1599.91      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                 | CPPIB Capital Inc                                                                | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |    2500000 | PA      | $1916118.96   | 0.11%             | 2034-06-02      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-36526.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16873 | PA      | $17102.27     | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        720 | PA      | $724.79       | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402EMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1550 | PA      | $1575.21      | 0.00%             | 2033-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15235 | PA      | $15399.23     | 0.00%             | 2036-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4246815.88   | 0.25%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1042 | PA      | $1092.87      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                    | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4547489.18   | 0.27%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                         | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3529179.54   | 0.21%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35400000 | PA      | $27923132.72  | 1.63%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XXIV Ltd                                                                     | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      25132 | PA      | $25144.98     | 0.00%             | 2030-03-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                            | Korea Development Bank/The                                                       | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |     900000 | PA      | $905531.73    | 0.05%             | 2026-10-23      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13137676 | PA      | $9671545.99   | 0.57%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H3 Mortgage Trust                                                     | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2523494 | PA      | $2552817.21   | 0.15%             | 2069-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DNU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     956113 | PA      | $915972.28    | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | KR        |          1 | NC      | $4325.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kubota Credit Owner Trust                         | Kubota Credit Owner Trust 2023-2                                                 | CUSIP: 500945AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     426114 | PA      | $426582.35    | 0.02%             | 2026-07-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.80662 04/02/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     800000 | OU      | $15125.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                            | Protective Life Global Funding                                                   | CUSIP: 74368CBS2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3217879.97   | 0.19%             | 2026-04-14      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $1090.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382Y3J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4798224 | PA      | $4826291.87   | 0.28%             | 2073-03-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1650196 | PA      | $91396.93     | 0.01%             | 2035-11-25      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LL23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1587354 | PA      | $121982.45    | 0.01%             | 2035-11-25      | Floating      | 0.52%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    9466000 | OU      | $26883.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                     | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1400000 | PA      | $1425293.69   | 0.08%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        683 | PA      | $685.47       | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629W3T5<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3009850.83   | 0.18%             | 2027-10-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-312.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5680 | PA      | $5653.23      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $109941.31    | 0.01%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-123499.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TW        |          1 | NC      | $654.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 06/20/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25000000 | OU      | $1824407.50   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5411183 | PA      | $237013.62    | 0.01%             | 2035-11-25      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6B8<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2000000.00   | 0.12%             | 2025-08-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NT32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1615 | PA      | $1646.98      | 0.00%             | 2032-07-01      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405BFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5431 | PA      | $5546.87      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60967 | PA      | $58590.53     | 0.00%             | 2032-03-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                         | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5832655 | PA      | $5845294.80   | 0.34%             | 2039-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105747.58    | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197861 | PA      | $187330.66    | 0.01%             | 2044-07-19      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U88VA1 PIMCO SWAPTION 3.65 CALL USD 2025080                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |  192800000 | NC      | $112518.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4369 | PA      | $4501.20      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                   | CFCRE Commercial Mortgage Trust 2016-C6                                          | CUSIP: 12532AAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     671352 | PA      | $668379.06    | 0.04%             | 2049-11-10      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2042961 | PA      | $2046686.72   | 0.12%             | 2072-10-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                        | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    6400000 | PA      | $6421026.94   | 0.38%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-1851.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $5383761.18   | 0.31%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $7701.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $5603.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3590000000 | OU      | $-395601.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3146756 | PA      | $3138117.28   | 0.18%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401YS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5674 | PA      | $5670.42      | 0.00%             | 2033-07-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                   | Citizens Auto Receivables Trust 2023-1                                           | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4012928 | PA      | $4039163.60   | 0.24%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4100000 | OU      | $-57016.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CA        |          1 | NC      | $203008.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-222.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-122103.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2600000 | PA      | $2676165.60   | 0.16%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11965 | PA      | $12112.20     | 0.00%             | 2029-03-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | ID        |          1 | NC      | $490.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $234.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-128187.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7983 | PA      | $8096.53      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70132 | PA      | $70237.15     | 0.00%             | 2042-08-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-935.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11000000 | PA      | $10939843.75  | 0.64%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U8D3A1 PIMCO SWAPTION 3.7565 CALL USD 20250                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -2800000 | NC      | $-38809.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                   | Rolls-Royce PLC                                                                  | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     950000 | PA      | $975692.75    | 0.06%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5954 | PA      | $5789.52      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $466895.72    | 0.03%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-84416.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |          1 | NC      | $1010400.78   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | IN        |          1 | NC      | $9.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | IL        |          1 | NC      | $1667.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130876 | PA      | $128816.61    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19937 | PA      | $20836.18     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                          | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    3500000 | PA      | $3543219.75   | 0.21%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                  | Bank of Montreal                                                                 | CUSIP: 06368D8Z0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    5500000 | PA      | $5615503.74   | 0.33%             | 2028-06-28      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201U2Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6585 | PA      | $6570.03      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        203 | PA      | $212.16       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2007-R1 Trust                                            | CUSIP: 05953BAB7<br>LEI: 549300478KN17QUC9E29 | Long             | ABS-MBS          | CORP              | US        |    2784077 | PA      | $2281183.13   | 0.13%             | 2047-08-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                        | CUSIP: 71710TAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2939738 | PA      | $2958588.80   | 0.17%             | 2033-06-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2159942.83  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11092 | PA      | $11434.82     | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12808 | PA      | $13157.97     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4675204.89   | 0.27%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $26394.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bills                                                              | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     263000 | PA      | $260773.18    | 0.02%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI NATIONAL ENERG                          | Abu Dhabi National Energy Co PJSC                                                | CUSIP: 00388WAQ4<br>LEI: 213800UNJSVQFNUYYW03 | Long             | DBT              | CORP              | AE        |    3400000 | PA      | $3349462.40   | 0.20%             | 2031-10-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2006-OPT3                                    | CUSIP: 40430HFN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     343998 | PA      | $330421.04    | 0.02%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415YER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6903 | PA      | $7029.79      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-154.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CTP NV                                            | CTP NV                                                                           | CUSIP: 000000000<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |    2100000 | PA      | $2451564.20   | 0.14%             | 2026-01-20      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3826 | PA      | $3757.63      | 0.00%             | 2036-05-01      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                             | CUSIP: 80414L2N4<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    2800000 | PA      | $2832053.00   | 0.17%             | 2034-07-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -1 | NC      | $623.18       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201SJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2129 | PA      | $2133.69      | 0.00%             | 2032-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.25000 09/17/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   61700000 | OU      | $-2385895.36  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.03        | 0.00%             | 2025-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                        | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   10700000 | PA      | $8271392.69   | 0.48%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CN        |          1 | NC      | $2400.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     842640 | PA      | $594549.65    | 0.03%             | 2035-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    2100000 | OU      | $-16585.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    1000000 | PA      | $276818.40    | 0.02%             | 2017-05-08      | None          | 2.62%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | 317U9FUA5 PIMCO SWAPTION 3.7 CALL USD 20250630                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-1505.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317U9N1A0 PIMCO SWAPTION 3.914 PUT USD 2025072                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |    -500000 | NC      | $-866.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-6455.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                 | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9600000 | PA      | $9211668.48   | 0.54%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TW        |          1 | NC      | $330.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    4600000 | OU      | $-14190.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $12633.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     722919 | PA      | $297540.22    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1589650 | PA      | $1566909.58   | 0.09%             | 2040-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1784594 | PA      | $1296090.11   | 0.08%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14641 | PA      | $14622.53     | 0.00%             | 2030-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        932 | PA      | $932.52       | 0.00%             | 2030-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-340.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414FKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12668 | PA      | $13132.63     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $11106.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410TZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $320.77       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700000 | PA      | $8213021.85   | 0.48%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        646 | PA      | $637.89       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ID        |          1 | NC      | $-262.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | TW        |          1 | NC      | $6737.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22588 | PA      | $23215.12     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hayfin Emerald CLO                                | Hayfin Emerald CLO X DAC                                                         | CUSIP: 000000000<br>LEI: 635400QPLMTTI1BZII42 | Long             | ABS-CBDO         | CORP              | IE        |    3600000 | PA      | $4248507.77   | 0.25%             | 2038-07-18      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL OPTION  AUG25C 118.5 EXP 07/25/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -5 | NC      | $-647.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AA6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1361 | PA      | $1353.70      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UFM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186612 | PA      | $187123.24    | 0.01%             | 2064-04-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $4240800.80   | 0.25%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177859 | PA      | $168683.58    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6239801.40   | 0.36%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $3814.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     568644 | PA      | $586977.01    | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                           | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $1580.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-2AA PTT                           | Air Canada 2015-2 Class AA Pass Through Trust                                    | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1245217 | PA      | $1211995.49   | 0.07%             | 2027-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8300000 | PA      | $6169558.57   | 0.36%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-1676.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2462873 | PA      | $2429125.19   | 0.14%             | 2072-01-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $-120157.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-44289.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-23                                    | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3840980 | PA      | $3455179.46   | 0.20%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2152235 | PA      | $917040.19    | 0.05%             | 2037-03-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2800000 | PA      | $2863019.96   | 0.17%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-127235.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust            | Structured Asset Investment Loan Trust 2006-1                                    | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3591977 | PA      | $3382825.67   | 0.20%             | 2036-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                              | BlueMountain Fuji Eur CLO V DAC                                                  | CUSIP: 000000000<br>LEI: 635400IYPG2G6NM3OV52 | Long             | ABS-CBDO         | CORP              | IE        |    4296454 | PA      | $5057112.23   | 0.30%             | 2033-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4923315 | PA      | $2339118.29   | 0.14%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR8                          | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     276889 | PA      | $231475.93    | 0.01%             | 2036-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                             | Terwin Mortgage Trust 2006-3                                                     | CUSIP: 881561V92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99551 | PA      | $97283.22     | 0.01%             | 2037-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-1                                                | CUSIP: 92539BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3306558 | PA      | $3304411.38   | 0.19%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   50000000 | OU      | $29801.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212VCD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1689 | PA      | $1690.82      | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296B6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24911 | PA      | $25228.72     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1880 | PA      | $1902.52      | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72771 | PA      | $70761.60     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     285102 | PA      | $212959.84    | 0.01%             | 2036-01-26      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52425 | PA      | $51930.61     | 0.00%             | 2033-03-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -6 | NC      | $-2403.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418A2M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3341 | PA      | $3317.11      | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404KQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35490 | PA      | $36266.25     | 0.00%             | 2034-04-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5091416 | PA      | $4616638.61   | 0.27%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | SG        |          1 | NC      | $1967.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374CPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1389 | PA      | $1391.95      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                      | NNN REIT Inc                                                                     | CUSIP: 637417AK2<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    5600000 | PA      | $5507945.41   | 0.32%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 31750R5N3 PIMCO FXVAN PUT EUR USD 1.11000000                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    1659000 | OU      | $4772.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2347534 | PA      | $2303954.10   | 0.13%             | 2057-06-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1919 | NC      | $2182121.44   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29073 | PA      | $30020.32     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YY64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4981001 | PA      | $5010217.74   | 0.29%             | 2073-02-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33037 | PA      | $33114.89     | 0.00%             | 2044-10-01      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7700000 | PA      | $7673531.25   | 0.45%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1500000 | PA      | $1525156.67   | 0.09%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1400000 | PA      | $1363250.00   | 0.08%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2005-FR5                          | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2787826 | PA      | $2072866.70   | 0.12%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411YXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3498 | PA      | $3555.07      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $240.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241K4U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224843 | PA      | $227939.70    | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X4YR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1420106 | PA      | $1345504.32   | 0.08%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4063 | PA      | $3950.36      | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                         | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBL4<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    5700000 | PA      | $5712810.86   | 0.33%             | 2034-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25850000 | PA      | $16476345.64  | 0.96%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                          | Canadian Pacific Railway Co                                                      | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    9800000 | PA      | $9657465.76   | 0.56%             | 2026-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED AUD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |          1 | NC      | $18221.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1073342 | PA      | $1050095.75   | 0.06%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-2                                                | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100919 | PA      | $2966595.93   | 0.17%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1264060 | PA      | $1309244.18   | 0.08%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416YDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1402 | PA      | $1394.81      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                         | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4365574.27   | 0.26%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3300000 | PA      | $3242117.08   | 0.19%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2024 - Granite 6 PLC                                 | CUSIP: 000000000<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    3399348 | PA      | $4677718.75   | 0.27%             | 2053-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR1                          | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476532 | PA      | $385262.73    | 0.02%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.88400 03/25/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-24111.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36181CEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5321 | PA      | $5055.78      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411CYP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $220.59       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67170 | PA      | $66740.22     | 0.00%             | 2037-03-26      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS  | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR1 Trust   | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1395 | PA      | $1407.05      | 0.00%             | 2033-02-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35265 | PA      | $34643.13     | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418E3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1916947 | PA      | $1950687.40   | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4200000 | PA      | $4325891.81   | 0.25%             | 2030-03-04      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $3840.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1128546 | PA      | $979765.62    | 0.06%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349798 | PA      | $244097.89    | 0.01%             | 2036-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-WMC1                          | CUSIP: 59020UQV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     775405 | PA      | $771213.48    | 0.05%             | 2035-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 3618N5C23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18473167 | PA      | $16831160.09  | 0.98%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3790283.33   | 0.22%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds             | Brazil Government International Bonds                                            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    4400000 | PA      | $4367265.19   | 0.26%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-37261.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9IZA4 PIMCO SWAPTION 4.125 PUT USD 2025070                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1200000 | NC      | $-2.88        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hydro-Quebec                                      | Hydro-Quebec                                                                     | CUSIP: 448814DB6<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |    1000000 | PA      | $1161369.71   | 0.07%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-RPL1                                    | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2683962 | PA      | $2603063.41   | 0.15%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3501 | PA      | $3490.42      | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                    | IXIS Real Estate Capital Trust 2006-HE3                                          | CUSIP: 46602UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10178104 | PA      | $3449268.90   | 0.20%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M74G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72425 | PA      | $74405.29     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4685546 | PA      | $3085341.45   | 0.18%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | SG        |          1 | NC      | $494.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $6753.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 12/18/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4800000 | OU      | $349813.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140MUMB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832001 | PA      | $797677.47    | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-1584.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H050680<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14000000 | PA      | $13746232.92  | 0.80%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QNGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15339443 | PA      | $13310646.91  | 0.78%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140A32V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77480 | PA      | $79108.64     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG44 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  101300000 | OU      | $2243551.50   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415XER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1502 | PA      | $1551.32      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $268851.23    | 0.02%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL12 LLC                                                                | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3077077 | PA      | $3083791.53   | 0.18%             | 2038-08-19      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust            | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2867641 | PA      | $2529601.79   | 0.15%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $3710.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1072 | NC      | $-2643865.28  | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $19123.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICAN UDIBONOS                                  | Mexican Udibonos                                                                 | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    4250424 | PA      | $210742.68    | 0.01%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668AT9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $999295.24    | 0.06%             | 2025-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                          | United Airlines 2019-2 Class AA Pass Through Trust                               | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3694378 | PA      | $3309947.16   | 0.19%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     867367 | PA      | $832899.89    | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202DFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        730 | PA      | $771.55       | 0.00%             | 2030-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | KR        |          1 | NC      | $8354.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |          1 | NC      | $3987.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                          | Tesco Property Finance 4 PLC                                                     | CUSIP: 000000000<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |     176451 | PA      | $242868.78    | 0.01%             | 2040-10-13      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5467218 | PA      | $4445943.25   | 0.26%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                       | CUSIP: 337738BL1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4611873.38   | 0.27%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-2                                            | CUSIP: 41164LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538903 | PA      | $431280.77    | 0.03%             | 2038-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2022-3 Ltd                                               | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    5100000 | PA      | $5103825.00   | 0.30%             | 2035-07-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U9EGA4 PIMCO SWAPTION 4.135 PUT USD 2025063                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -1700000 | NC      | $-0.17        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  431900000 | PA      | $3021090.88   | 0.18%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317U9LGA8 PIMCO SWAPTION 4.097 PUT USD 2025071                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -500000 | NC      | $-81.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-220043.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211J5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3125 | PA      | $3129.84      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212MJU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        716 | PA      | $718.30       | 0.00%             | 2030-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-8933.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Help Financial LLC                          | FHF Issuer Trust 2024-1                                                          | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2227607 | PA      | $2251059.29   | 0.13%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1264060 | PA      | $1292340.16   | 0.08%             | 2041-02-20      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407JDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        905 | PA      | $949.43       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | TH        |          1 | NC      | $1877.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                          | FirstEnergy Pennsylvania Electric Co                                             | CUSIP: 708696BZ1<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4153650.49   | 0.24%             | 2029-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-6678.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113368 | PA      | $118905.57    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                  | CVC Cordatus Loan Fund XI DAC                                                    | CUSIP: 000000000<br>LEI: 6354003WWBLW5OLHF232 | Long             | ABS-CBDO         | CORP              | IE        |    3894320 | PA      | $4590182.43   | 0.27%             | 2031-10-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1A EETC                           | American Airlines 2021-1 Class A Pass Through Trust                              | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4117554 | PA      | $3636016.14   | 0.21%             | 2034-07-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1276 | PA      | $1325.26      | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $215.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | KR        |          1 | NC      | $360.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405EFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3428 | PA      | $3527.50      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $6583.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-18248.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212HD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5298 | PA      | $5304.84      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $585.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400HFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $971.25       | 0.00%             | 2033-03-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CCNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     446006 | PA      | $440454.47    | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2800000 | PA      | $2817088.85   | 0.16%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                           | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-4964.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BZ4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1905033.65   | 0.11%             | 2027-11-08      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WAXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82950 | PA      | $83413.91     | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-31

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President