# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007217
**Filing Date:** 2026-5
**Character Count:** 434537
**Document Hash:** 93e8e1fd1797fda571a43e6a74066c0c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007217.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007217

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043385

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

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

## Series and Classes Contracts Data

### PIMCO All Authority: Multi-RAE PLUS Fund (Series ID: S000077182)

| Class ID   | Class Name                               | Ticker Symbol   |
|:---|:---|:---|
| C000237352 | PIMCO All Authority: Multi-RAE PLUS Fund |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (866) 746-2606

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

- **a. Name of Series:** PIMCO All Authority: Multi-RAE PLUS Fund

- **b. EDGAR series identifier (if any):** S000077182

- **c. LEI of Series:** 549300DLC8MKXQ8KIH64

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $499151312.91

**Total Liabilities:** $358319946.34

**Net Assets:** $140831366.57

**Cash Not Reported:** $6611957.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -19156.716400 | **1-Year:** 23993.484500 | **5-Year:** 40635.363100 | **10-Year:** 1239.136800 | **30-Year:** -5115.999700

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

- **3-Month:** 690.049000 | **1-Year:** 1424.517200 | **5-Year:** 5428.084000 | **10-Year:** 1568.165400 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000237352 | 6.51%                | 6.41%                | -9.82%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $349446.76               | $296274.86                                 |
| Month 2  | $880933.85               | $-420902.05                                |
| Month 3  | $-13234.81               | $-3028848.73                               |

**Designated Index Information**

- **Index Name:** 33.33% S&P 500 Index, 33.33% MSCI Emerging Markets Index, 33.33% MSCI EAFE Net Total Return Index

- **Index Identifier:** M2EF, NDDUEAFE, SPTR

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-40.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 12/27 0.625                            | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $94625.00     | 0.07%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20261207                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $30818.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1049.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT           | WASHINGTON ST CONVENTION CENTE WASFAC 07/40 FIXED 6.79 | CUSIP: 93976AAH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     320000 | PA      | $344005.66    | 0.24%             | 2040-07-01      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-374.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $1218.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                      | FANNIE MAE FNR 2007 63 FC                              | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2035 | PA      | $2014.06      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $886.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1496.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG46 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-517447.14   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-263.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-344.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SOX8 PIMCO CDSOPT PUT USD 96.10156250 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-2668.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        148 | PA      | $143.51       | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS PLN 4.68500 12/02/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $458.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $130.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-149.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-28788.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20261228                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $233.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2980.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-69.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A          | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72162 | PA      | $70913.43     | 0.05%             | 2047-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $433.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260526                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $3880.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    5300000 | NC      | $7621.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2968.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14784.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1       | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13920 | PA      | $11903.64     | 0.01%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | MORGAN STANLEY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1320.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                     | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2        | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2402303 | PA      | $661871.35    | 0.47%             | 2037-01-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2693.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $725.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-280.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-220.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                        | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500364.89    | 0.36%             | 2034-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-378.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.74800 03/03/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1892.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-133758.64   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $250.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-71.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/45 4.875                            | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      59000 | PA      | $58820.23     | 0.04%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $11700.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $58.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $634.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $231.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1      | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     508651 | PA      | $403640.00    | 0.29%             | 2037-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A         | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94106 | PA      | $49554.88     | 0.04%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                 | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1          | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30391 | PA      | $26617.59     | 0.02%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $100.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        148 | NC      | $-92369.11    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-139.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.09        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $50.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1               | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        351 | PA      | $338.22       | 0.00%             | 2035-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4                               | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A     | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3582497 | PA      | $3581220.86   | 2.54%             | 2067-09-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $15649.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SO42 PIMCO CDSOPT PUT USD 96.85937500 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2500000 | NC      | $-56.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                 | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     299970 | PA      | $275346.26    | 0.20%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A1            | CUSIP: 617526AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     692031 | PA      | $439063.72    | 0.31%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| CONTEGO CLO BV 8A                                                       | CONTEGO CLO DAC CONTE 8A AR 144A                       | CUSIP: ACI299F71<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2230000 | PA      | $2577836.73   | 1.83%             | 2034-01-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.30500 11/27/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3015.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 08/32 6.15             | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     700000 | PA      | $210364.09    | 0.15%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410000 | PA      | $360181.70    | 0.26%             | 2056-04-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-19687.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B      | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     865044 | PA      | $645716.73    | 0.46%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.93300 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1961.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $955.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-225.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $580.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -3500000 | NC      | $-1414.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $882.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CLP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-8134.52     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-13.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2680000 | PA      | $2770271.67   | 1.97%             | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CLP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-56338.83    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38220000 | PA      | $39510367.97  | 28.06%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14761.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-761.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10980000 | PA      | $-10044163.84 | -7.13%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.75000 06/21/23-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $641790.14    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBKLA1 PIMCO SWAPTION 3.7625 PUT USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2500000 | NC      | $-9290.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $56.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QZ5154 FR 10/55 FIXED 6              | CUSIP: 31427CWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197075 | PA      | $201933.73    | 0.14%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-17.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $17697.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2671.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1968.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $61.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A     | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     391108 | PA      | $390895.20    | 0.28%             | 2053-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260520                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6333.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.2914 05/08/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-27064.25    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-112.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.77500 03/03/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1442.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1096.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $33033.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A   | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155130 | PA      | $156135.24    | 0.11%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $178.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1900000 | NC      | $107595.10    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4191.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SPTR TRS EQUITY SOFR+57.5 ULO                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $16341.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-880.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                      | FANNIE MAE FNR 2005 79 NF                              | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17295 | PA      | $17195.82     | 0.01%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $5498.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-3837.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0422 G2 06/55 FIXED 4.5                 | CUSIP: 3618N5PG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2939740 | PA      | $2844186.88   | 2.02%             | 2055-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $715.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-938.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-6238.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                    | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581       | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     870000 | PA      | $895169.49    | 0.64%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-623.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                             | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     581640 | PA      | $521707.04    | 0.37%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5            | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     950531 | PA      | $972301.97    | 0.69%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                    | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A       | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     794481 | PA      | $773639.27    | 0.55%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1       | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        217 | PA      | $204.38       | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $124.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $261.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CCA VINTAGE 2026  DEC26 IFED 20261224                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         22 | NC      | $-97815.22    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-25206.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.52000 03/27/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4708.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $1978.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4286.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1053.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $113.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $170.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1        | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1405 | PA      | $1325.92      | 0.00%             | 2034-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.15000 08/25/27-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-97375.30    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC63A1 PIMCO SWAPTION 3.4425 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2100000 | NC      | $9703.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-532.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-4788.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 09/20/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-145036.82   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1216.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-212.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC7LA9 PIMCO SWAPTION 3.651 CALL USD 202606         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1800000 | NC      | $15982.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC8CA7 PIMCO SWAPTION 3.899 PUT USD 2026062         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-13904.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $412.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-668.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-4351.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-326.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $92.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SB53 PIMCO CDSOPT CALL USD 0.5 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -13300000 | NC      | $-5255.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $321.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $999.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E                                | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1          | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3772 | PA      | $3752.40      | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $37.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        288 | NC      | $-628398.86   | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP BPS                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $238143.07    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1501.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERADXULN TRS EQUITY SOFR+26.5 MEI                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-80335.33    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-9743.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC9LA5 PIMCO SWAPTION 4.095 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2250000 | NC      | $359.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2170.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-2634.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI PROPERTIES LP SR UNSECURED 02/28 4.75             | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100128.16    | 0.07%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PHP BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $615.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1183.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260414                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1138.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-233.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $16837.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-28.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFXNT TRS EQUITY SOFR+30 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-203445.27   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3773.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-12.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                            | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                     | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1637 | PA      | $1630.52      | 0.00%             | 2042-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14810000 | PA      | $14608006.71  | 10.37%            | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $67.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                         | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1             | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64347 | PA      | $53629.82     | 0.04%             | 2035-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $607.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 11/40 12.75                 | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1768200000 | PA      | $468660.96    | 0.33%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFENT TRS EQUITY SOFR+52 BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-1444548.31  | -1.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-985.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-330.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAOYA0 PIMCO SWAPTION 3.857 PUT USD 2026100         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   24600000 | NC      | $47008.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5400000 | NC      | $305796.60    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-6000.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750S7M1 PIMCO CDSOPT CALL USD 0.525 20260520         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -25900000 | NC      | $-15944.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.55000 04/16/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2731.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $13157.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1592.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $697.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $294.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2600000 | NC      | $133500.12    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 124 HF         | CUSIP: 38381PHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1325457 | PA      | $1337360.47   | 0.95%             | 2055-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MYR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-276.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $183.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-391.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2624.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2600000 | NC      | $154012.56    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85          | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $200970.00    | 0.14%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2154.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $55.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $327.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ2091 FR 04/54 FIXED 5.5            | CUSIP: 3142GSKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     881120 | PA      | $887101.39    | 0.63%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.72050 04/01/26-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-115.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1842.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-109.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35       | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206481.01    | 0.15%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-750.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/44 4.625                            | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2619369.14   | 1.86%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20270129                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-10074.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 02/33 13.25                 | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1530600000 | PA      | $410372.37    | 0.29%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.75000 09/16/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-269582.94   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED REGS 07/39 6.75                   | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $462386.32    | 0.33%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $82.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $97.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBKMA0 PIMCO SWAPTION 3.4625 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2200000 | NC      | $1795.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $27.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-52780.88    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/18/24-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $754794.20    | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-315.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                      | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45       | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      93975 | PA      | $96070.40     | 0.07%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8        | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $402301.28    | 0.29%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $17532.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.22000 01/08/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-7095.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                 | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    7100000 | PA      | $415088.54    | 0.29%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-134.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                  | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM B 144A     | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $983000.00    | 0.70%             | 2036-12-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4910000 | PA      | $4853370.02   | 3.45%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                      | FANNIE MAE FNR 2007 65 KF                              | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4446 | PA      | $4405.22      | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7132.45     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $611.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERADXULN TRS EQUITY SOFR+22 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-618506.71   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                   | IVORY COAST SR UNSECURED REGS 03/48 6.625              | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     300000 | PA      | $299492.35    | 0.21%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-759.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2                   | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2023 2 A2 144A     | CUSIP: 35104AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      22166 | PA      | $22194.49     | 0.02%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC76A6 PIMCO SWAPTION 4.0325 PUT USD 202605         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1100000 | NC      | $4885.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                     | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A      | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      98569 | PA      | $99102.07     | 0.07%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-296.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAN1A8 PIMCO SWAPTION 4.082 PUT USD 2027010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   24600000 | NC      | $37960.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $82153.92     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                   | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                    | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     587658 | PA      | $589271.35    | 0.42%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $197.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.06300 12/06/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-971.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2180000 | PA      | $2103705.93   | 1.49%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                        | FREDDIE MAC FHR 3355 BF                                | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54893 | PA      | $54978.74     | 0.04%             | 2037-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                  | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A2         | CUSIP: 78420MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169815 | PA      | $159175.12    | 0.11%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260727                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $4847.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2096.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                      | FANNIE MAE FNR 2005 75 AF                              | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8272 | PA      | $8206.79      | 0.01%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6826.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                         | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1                | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     454971 | PA      | $158433.08    | 0.11%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A       | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8678 | PA      | $7916.84      | 0.01%             | 2036-12-19      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-407.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-601.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $282.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+24 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-66847.04    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9515.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-90462.57    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $445.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2022-C                                         | BANKERS HEALTHCARE GROUP SECUR BHG 2022 C B 144A       | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     217942 | PA      | $218201.20    | 0.15%             | 2035-10-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1346.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $4231.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4           | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3500000 | PA      | $955587.80    | 0.68%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1575.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $192.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $4491.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-179.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10000 01/21/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2244.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-465804.50   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-4593.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $2305.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $907.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.68000 08/07/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1061.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4        | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645006 | PA      | $190520.50    | 0.14%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $31536.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $377.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -2050000 | NC      | $-65597.95    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1864.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                       | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A        | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     148294 | PA      | $153402.30    | 0.11%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOFTBANK GROUP CORP SNR JP SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-122.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2         | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        513 | PA      | $498.28       | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-504.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 831587 FN 07/26 FIXED 6.5                    | CUSIP: 31407H2U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.49        | 0.00%             | 2026-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1546.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-485.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1086.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86600 11/14/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $503.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4200000 | NC      | $10016.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $73.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND FUTURE  JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         75 | NC      | $-271858.47   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/17/26-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-586.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAUSA3 PIMCO SWAPTION 3.674 PUT USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1634.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-485.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $54179.69     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-23584.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $901.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $17859.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $457.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $686.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7121.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-781.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.975 12/16/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-36698.80    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $339.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY46 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $14873.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-13588.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $148.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                       | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A       | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     344774 | PA      | $111178.97    | 0.08%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-83.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-118                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 118 FA         | CUSIP: 38384UJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3066188 | PA      | $3082591.72   | 2.19%             | 2054-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $38.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90500 03/12/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-682.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $648.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1069.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.38000 12/31/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5598.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4        | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          3 | PA      | $3.42         | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $41306.32     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-758.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFXNT TRS EQUITY SOFR+30 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-184579.41   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $33.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-2312.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         38 | NC      | $-54485.85    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2058.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-249.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | FED FUND 30DAY    MAY26 XCBT 20260529                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         18 | NC      | $-29037.58    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2800000 | NC      | $8066.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/8.59000 09/02/25-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $67234.32     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2529.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $758.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $158.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260818                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-16673.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $536.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                      | VISIO TRUST VISIO 2023 2 A1 144A                       | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     935816 | PA      | $937967.37    | 0.67%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A4      | CUSIP: 12667GTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        269 | PA      | $189.42       | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $59763.70     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86000 11/14/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $915.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                        | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1             | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5660 | PA      | $3089.89      | 0.00%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2022-4                                        | TOWD POINT MORTGAGE TRUST TPMT 2022 4 A1 144A          | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     914717 | PA      | $871643.00    | 0.62%             | 2062-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5            | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     520050 | PA      | $530365.23    | 0.38%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260428                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-338.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3874.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-7.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.74200 03/26/26-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3553.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3.5 JUMBOS                           | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5504206.98   | 3.91%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1161.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.99000 12/08/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-365.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1631.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                            | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR B 144A      | CUSIP: 12564NAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $987875.00    | 0.70%             | 2038-11-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750S7L3 PIMCO CDSOPT PUT USD 0.65 20260520           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   39500000 | NC      | $74108.72     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $199.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $123.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFENT TRS EQUITY SOFR+64 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-2396937.80  | -1.70%            |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                               | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A    | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     318244 | PA      | $320139.86    | 0.23%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1246.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-13086.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260819                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7304.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-181.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $662.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85500 11/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $416.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $730.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260520                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $5946.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $344.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $741.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $50989.34     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-2399.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES LXII CLO LTD 2021-62A                                              | ARES CLO LTD ARES 2021 62A A1R 144A                    | CUSIP: 00192WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600196.81    | 0.43%             | 2034-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $431.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-178.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CLP 4.59000 01/09/26-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $529.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1284.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-249.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                      | FANNIE MAE FNR 2007 96 AF                              | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35646 | PA      | $35733.05     | 0.03%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2530.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-132.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3       | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26408 | PA      | $23005.74     | 0.02%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-2062.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260521                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $708.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-75.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                             | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35            | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     100000 | PA      | $76591.39     | 0.05%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -8 | NC      | $81028.70     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84199 12/02/24-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24973.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3131.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                    | KEURIG DR PEPPER                                       | CUSIP: 49271KE83<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1393622.86   | 0.99%             | 2026-05-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PHP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $15.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $498.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $33995.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1457.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-97.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $75402.14     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-127.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1047.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-35                                               | FANNIE MAE FNR 2011 35 PE                              | CUSIP: 31397SVH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     311488 | PA      | $299733.90    | 0.21%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A  | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     846646 | PA      | $836379.99    | 0.59%             | 2035-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-189.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84200 03/04/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2879.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-9981.10     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAODA3 PIMCO SWAPTION 4.093 PUT USD 2027010         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   23000000 | NC      | $34805.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    3500000 | NC      | $5327.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.51000 04/09/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3130.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                        | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1              | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        112 | PA      | $112.07       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $397.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                            | ACE SECURITIES CORP. ACE 2006 HE4 A2A                  | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        997 | PA      | $384.14       | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-208.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-529.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $130.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1430.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-29.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG      | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     400000 | PA      | $140000.00    | 0.10%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167658 | PA      | $155773.93    | 0.11%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-145.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $229.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-562.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3         | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     748264 | PA      | $226404.81    | 0.16%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A1 144A       | CUSIP: 61753VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     532306 | PA      | $237579.66    | 0.17%             | 2037-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-310.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A A2A1 144A    | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1048431 | PA      | $1039434.68   | 0.74%             | 2053-01-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3M CORRA FUTURES  MAR27 XMOD 20270615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          6 | NC      | $-2946.73     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COLOMBIAN GOVT                                                          | REPUBLIC OF COLOMBIA SR UNSECURED 06/45 5              | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     300000 | PA      | $216033.00    | 0.15%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-A                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 A A1A 144A     | CUSIP: 78450QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     442572 | PA      | $447561.88    | 0.32%             | 2053-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAURA4 PIMCO SWAPTION 3.174 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2300000 | NC      | $918.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $491.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 03/18/26-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13138.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260506                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $52.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.65000 01/08/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2257.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-3413.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CLP 4.67600 01/09/26-5Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $444.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13      | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189455 | PA      | $186086.70    | 0.13%             | 2036-12-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $58905.50     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -2000000 | NC      | $-810.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260713                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-700.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC DISC COML PAPER                                | CUSIP: 40412DDP1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1695353.39   | 1.20%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+29 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-799992.32   | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1143.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $455526.77    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                                   | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5         | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4057 | PA      | $1913.17      | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $215.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $432.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $30806.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-13021.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1466.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-11992.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAMPA4 PIMCO SWAPTION 4.141 PUT USD 2026123         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   24600000 | NC      | $33844.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-61269.19    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2200000 | NC      | $122655.50    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP CBK                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $168161.03    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                   | CROWN CASTLE                                           | CUSIP: 22823QDM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1396564.96   | 0.99%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260526                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2334.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                         | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8                | CUSIP: 362669BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107899 | PA      | $66930.31     | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $798.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $345.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-332.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1751.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $22.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-8673.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260921                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $768.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $668.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.40000 02/12/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5508.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                            | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A              | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1002986.25   | 0.71%             | 2037-04-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-578.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.544 04/07/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-503.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60000 01/17/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1110.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC75A7 PIMCO SWAPTION 3.7325 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-6253.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CZK 4.52250 12/01/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-1340.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88000 01/13/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1124.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $4716.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $49.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-269.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-121.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERAUSST TRS EQUITY SOFR+53 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-685769.15   | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                           | EGYPT GOVERNMENT BOND BONDS 03/28 21.954               | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   13900000 | PA      | $248991.75    | 0.18%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1514.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375          | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $207094.00    | 0.15%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SJX4 PIMCO FXVAN PUT USD KRW 1400.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     240000 | NC      | $1404.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1448.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                          | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1812557 | PA      | $558946.43    | 0.40%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1134.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFENT TRS EQUITY SOFR+59 BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-501902.19   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                                 | FREDDIE MAC FHR 3376 FD                                | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8411 | PA      | $8427.86      | 0.01%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX MAIN45 5Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-1624.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-199.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1        | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1610 | PA      | $1504.24      | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $134.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.97500 03/21/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2407.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                            | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8        | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   40000000 | PA      | $43977.28     | 0.03%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-590.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $787.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     359877 | NC      | $1072.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24213.94    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1768.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2       | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407696 | PA      | $127346.92    | 0.09%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAROA4 PIMCO SWAPTION 3.646 PUT USD 2026041         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-13344.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                           | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A             | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1552323 | PA      | $1629744.32   | 1.16%             | 2041-10-15      | Floating      | 8.54%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                             | CAPITAL FOUR US CLO C4US 2022 1A AR 144A               | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     900000 | PA      | $902936.70    | 0.64%             | 2037-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-3                                        | TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A          | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     496343 | PA      | $487714.20    | 0.35%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |          1 | NC      | $4439.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42541.13     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1530.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-5510.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7100000 | NC      | $455694.33    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40512.29     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                                | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A   | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261447 | PA      | $262147.77    | 0.19%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.985 01/27/26-01/02/31 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-12139.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260602                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $56218.78     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034       | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2          | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     559173 | PA      | $543280.80    | 0.39%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1724.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 08/29 11                    | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 7083500000 | PA      | $1785967.92   | 1.27%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2492.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $61.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $33.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $101.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1        | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229051 | PA      | $216022.68    | 0.15%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.79250 11/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-67.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.53000 04/23/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2959.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-936.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                       | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A          | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2277629.97   | 1.62%             | 2032-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-28.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20270128                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4766.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                       | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A        | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     148294 | PA      | $151485.14    | 0.11%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-835.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $3063.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $296.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $35548.14     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1552.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-38.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3        | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92123 | PA      | $84359.77     | 0.06%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $974.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1474.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15            | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     400000 | PA      | $405714.37    | 0.29%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.52000 04/09/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3027.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-543.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-606.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-443.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95          | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     401000 | PA      | $124978.47    | 0.09%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $368.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RU20INTR TRS EQUITY SOFR+28 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-17709.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -80000 | PA      | $-73350.27    | -0.05%            | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-614.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $194.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-278.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15          | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   14200000 | PA      | $4267385.84   | 3.03%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1724.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $54578.36     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88400 03/25/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-503.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $9818.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $255.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4245.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-66.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-287.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $29489.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A     | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     330212 | PA      | $335690.52    | 0.24%             | 2050-05-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65            | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83952.21     | 0.06%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $477.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-2363.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1927.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CZK SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-494.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-847.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $35.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2        | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11442 | PA      | $10988.24     | 0.01%             | 2035-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000            | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    5000000 | PA      | $111677.40    | 0.08%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.23100 09/18/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $889.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UARPA3 PIMCO SWAPTION 3.146 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $167.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2400000 | NC      | $154037.52    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                     | GLOBAL PMTS INC                                        | CUSIP: 37961DD64<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1399029.38   | 0.99%             | 2026-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1042.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1349.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875             | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   16800000 | PA      | $975757.70    | 0.69%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-2910.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1508.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+27.5 JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-2787271.72  | -1.98%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25              | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   31270000 | PA      | $1485437.03   | 1.05%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2017-B                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2017 B B 144A       | CUSIP: 83189DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1100000 | PA      | $1081457.85   | 0.77%             | 2041-12-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $132.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $355.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-227.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-OAT FUTURE   JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -79 | NC      | $343039.64    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1955.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1800000 | NC      | $-727.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $5082.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERAEMLN TRS EQUITY SOFR+59 MEI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-358088.43   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-311.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SPTR TRS EQUITY SOFR+61 JPM                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $238711.24    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $164.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $1034.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $14674.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-412.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                            | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000     | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     270000 | PA      | $226327.50    | 0.16%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-725.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -6300000 | PA      | $-5625307.86  | -3.99%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01300 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1584.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $93.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20261016                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-3087.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89900 03/11/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-637.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.70000 02/20/24-25Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $162884.12    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $379.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-16832.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $70017.05     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-620.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $288.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SEP6 PIMCO FXVAN PUT USD BRL 5.12000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -530000 | NC      | $-3311.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP BOA                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $112067.34    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-11964.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-355.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $232.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-5111.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP MYC                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $58034.85     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2342.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1882.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-407.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1        | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40552 | PA      | $31895.60     | 0.02%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A           | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     196738 | PA      | $198116.70    | 0.14%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-11846.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $482.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $79228.00     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $8220.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 256479 FN 10/26 FIXED 6.5                    | CUSIP: 31371M2L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        156 | PA      | $161.81       | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $365.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2021.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750S949 PIMCO CDSOPT CALL USD 0.5 20260520           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -19600000 | NC      | $-6051.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $347.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42187.95     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-9245.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                    | BAYER US FINANCE LLC COMPANY GUAR 144A 11/33 6.5       | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     200000 | PA      | $212770.24    | 0.15%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1520.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                 | FREDDIE MAC FHR 5565 FC                                | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2416921 | PA      | $2441374.19   | 1.73%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1          | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7483 | PA      | $7482.60      | 0.01%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31540000 | PA      | $32113875.98  | 22.80%            | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3111.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO VI DAC 6A                                            | HAYFIN EMERALD CLO HAYEM 6A AR 144A                    | CUSIP: ACI30X675<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577596.16    | 0.41%             | 2038-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $264.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR39                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1       | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119552 | PA      | $109549.86    | 0.08%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $317.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $542.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-396.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 02/26/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-713.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260414                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $8506.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                               | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB A2B 144A   | CUSIP: 78449DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     558816 | PA      | $556829.63    | 0.40%             | 2054-09-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.45000 05/05/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3830.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MYR SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-11514.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                             | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A           | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     917270 | PA      | $919636.51    | 0.65%             | 2039-02-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.46000 03/13/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5037.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3MO EURO EURIBOR  JUN27 IFLL 20270614                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -2 | NC      | $3667.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-525.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8360000 | PA      | $8387728.87   | 5.96%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     820000 | PA      | $719146.22    | 0.51%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A       | CUSIP: 61753NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274790 | PA      | $248782.90    | 0.18%             | 2037-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-807.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3        | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143151 | PA      | $128105.91    | 0.09%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260506                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-68.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B     | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77571 | PA      | $76831.96     | 0.05%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-60.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2020000 | PA      | $1989845.36   | 1.41%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $75874.76     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-137.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $70.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-171.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                    | GLENCORE FUNDING LLC                                   | CUSIP: 37790BE49<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1394692.60   | 0.99%             | 2026-05-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1051779.91   | 0.75%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $13.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7      | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3500000 | PA      | $1102048.91   | 0.78%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $65580.38     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 05/07/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1828.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $265.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85000 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $341.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-330.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2796.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-309.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SEO9 PIMCO FXVAN PUT USD BRL 5.32000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     530000 | NC      | $15656.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                     | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP      | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $205053.88    | 0.15%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $34.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                                        | FREDDIE MAC FHR 3368 AF                                | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30392 | PA      | $30462.50     | 0.02%             | 2037-09-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $265.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBSEA2 PIMCO SWAPTION 4.049 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-577.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A  | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688043 | PA      | $387209.67    | 0.27%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $10815.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $572.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-304.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8081.56     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1834.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2571.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                                    | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1      | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24407 | PA      | $22933.74     | 0.02%             | 2036-12-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MYR SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-476.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $655.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  MAR27 XCME 20270615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -2 | NC      | $2273.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1464.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-588.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $713.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-202.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 06/20/24-2Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $831.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                                    | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625    | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     300000 | PA      | $210780.00    | 0.15%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2021-CA                                       | NELNET STUDENT LOAN TRUST NSLT 2021 CA AFL 144A        | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     658757 | PA      | $655870.26    | 0.47%             | 2062-04-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -1000000 | NC      | $-404.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $152587.63    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1780.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-2712.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $94776.96     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2172.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 07/30 3.875                            | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2300000 | PA      | $2296451.17   | 1.63%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RU20INTR TRS EQUITY SOFR+12 GST                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $35.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-162228.74   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-6442.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $4954.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3447.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1259.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                              | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A            | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500119.62    | 0.36%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UCA9A6 PIMCO SWAPTION 3.589 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-7776.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                               | JABIL INC                                              | CUSIP: 46652MD28<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1499624.55   | 1.06%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SCO1 PIMCO CDSOPT PUT USD 101.11328125 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-2045.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                                  | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3       | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194494 | PA      | $195947.78    | 0.14%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX MAIN44 5Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-692.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-199.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -230123 | NC      | $-203.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CZK 4.48500 12/02/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-218.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1070.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.5025 03/25/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4840.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                   | GLP CAPITAL LP / FIN II COMPANY GUAR 09/34 5.625       | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $98532.54     | 0.07%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SKX2 PIMCO CDSOPT CALL USD 0.55 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -2300000 | NC      | $-2674.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | KBCZ26C45 DEC26 45 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         23 | NC      | $1725.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EGYPTIAN GOVT                                                           | EGYPT TREASURY BILL BILLS 10/26 0.00000                | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     200000 | PA      | $3215.88      | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $368.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                            | BARCLAYS PLC SR UNSECURED 05/34 VAR                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1050347.82   | 0.75%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.98235 12/02/24-2Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2208.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.52 03/27/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4367.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $983.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                              | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45  | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     500000 | PA      | $495041.19    | 0.35%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $141.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3                           | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A3         | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     161772 | PA      | $162218.96    | 0.12%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89600 01/08/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $695.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                                    | ERAC USA FINANCE LLC                                   | CUSIP: 26882SDQ6<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1396141.04   | 0.99%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UCAEA0 PIMCO SWAPTION 4.219 PUT USD 2026060         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $5535.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                     | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A        | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187041 | PA      | $187053.16    | 0.13%             | 2035-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAUZA5 PIMCO SWAPTION 3.56 PUT USD 20260428         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2600000 | NC      | $-34073.78    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-HE1                                      | MASTR ASSET BACKED SECURITIES MABS 2007 HE1 A3         | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369624 | PA      | $361464.05    | 0.26%             | 2037-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-524.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1578.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $592.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $10.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-408.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $368.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SEQ4 PIMCO FXVAN CALL USD BRL 5.70000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -530000 | NC      | $-601.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $8236.77      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                 | FREDDIE MAC FHR 5513 MF                                | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     577690 | PA      | $581481.14    | 0.41%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3629.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1347.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5.5 JUMBOS                           | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2860000 | PA      | $2872852.10   | 2.04%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.12800 12/04/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1524.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFUNT TRS EQUITY SOFR+1 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-4895.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3209.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2319.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-2251.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $199.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $582.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87000 03/05/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-424.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REPO BANK AMERICA REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    8800000 | PA      | $8800000.00   | 6.25%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                    | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C        | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158090 | PA      | $36415.56     | 0.03%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-4343.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                      | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A       | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     710024 | PA      | $711139.46    | 0.50%             | 2040-07-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-737.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86500 11/20/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $493.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $163.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5          | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85383.26     | 0.06%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-8348.94     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-97.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1104.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260724                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $15620.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $36446.58     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2352.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CZK 3.76000 11/01/24-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-481.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                        | FREDDIE MAC FHR 3360 FC                                | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28833 | PA      | $28903.03     | 0.02%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5025.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO MORGAN STANLEY                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -213560 | PA      | $-215013.11   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     100000 | PA      | $2250.65      | 0.00%             | 2026-08-19      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2847.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -5300000 | NC      | $-2146.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1452.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1800000 | NC      | $2739.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2164.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $133221.07    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $591.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A   | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     237864 | PA      | $238349.37    | 0.17%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $4078.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $39.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-13177.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-22.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  139900000 | NC      | $867268.08    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1020.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3552.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.28000 11/22/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2809.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-952.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-149.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-555727.60   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                   | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5     | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     400000 | PA      | $397501.85    | 0.28%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.09000 01/22/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2166.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-603.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $839.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89000 03/03/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-288.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-653.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                            | LEHMAN MORTGAGE TRUST LMT 2007 8 1A1                   | CUSIP: 52521YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52845 | PA      | $51869.89     | 0.04%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                               | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    1000000 | PA      | $1006500.00   | 0.71%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                  | CVS PASS THROUGH TRUST PASS THRU CE 01/30 6.943        | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      40464 | PA      | $41669.56     | 0.03%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS CAD CAONREPO/3.0000 09/16/26-10Y LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-14259.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $347.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-84.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3485.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $199.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-7408.96     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                           | EGYPT GOVERNMENT BOND BONDS 10/30 19.698               | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   11400000 | PA      | $205352.61    | 0.15%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                                 | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A       | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1014798.20   | 0.72%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $1979.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $931.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURO-GALAXY V CLO BV 16-5A                                              | EURO GALAXY CLO BV EGLXY 2016 5A ARRR 144A             | CUSIP: ACI29B7N0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2497315 | PA      | $2889735.59   | 2.05%             | 2034-02-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $10.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $671.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBFPA8 PIMCO SWAPTION 3.7675 PUT USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-1473.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1000000 | NC      | $1522.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2725.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1366.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-7593.67     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-377806.64   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERAEMLN TRS EQUITY SOFR+63 MEI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-1351551.29  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 256571 FN 12/26 FIXED 6.5                    | CUSIP: 31371M6G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        254 | PA      | $262.75       | 0.00%             | 2026-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1956.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1       | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101786 | PA      | $54306.59     | 0.04%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-13580.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1693.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $964.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                    | GSAMP TRUST GSAMP 2007 NC1 A2A                         | CUSIP: 3622MGAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     256608 | PA      | $127338.70    | 0.09%             | 2046-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2525.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $368.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERAUSST TRS EQUITY SOFR+20 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-576.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1699.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A    | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $286675.30    | 0.20%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -20 | NC      | $-16837.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3141.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                       | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D       | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183276 | PA      | $69446.28     | 0.05%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     230123 | NC      | $734.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-782.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3806.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5237.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC0UA4 PIMCO SWAPTION 3.3 CALL USD 20260602         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $4542.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $3434.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $95.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1        | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27867 | PA      | $23388.71     | 0.02%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-141.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2132.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-39.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2504.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-46.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260819                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5254.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2801.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AUST 10Y BOND FUT JUN26 XSFE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         32 | NC      | $-14472.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                    | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2         | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     388129 | PA      | $184800.74    | 0.13%             | 2036-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.71000 08/06/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $796.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-446.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4901.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-2671.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-278.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  139900000 | NC      | $473253.72    | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-319.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $28056.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-254.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                        | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3        | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9849 | PA      | $9750.54      | 0.01%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11350.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-9900.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                    | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A       | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     648439 | PA      | $643975.39    | 0.46%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5716.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $2080.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-282.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    2000000 | NC      | $2876.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBFQA7 PIMCO SWAPTION 3.2675 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3000000 | NC      | $0.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 10/34 7.25                  | CUSIP: ACI17K571<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  847700000 | PA      | $162481.31    | 0.12%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $395.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS COP IBR/8.93300 10/28/25-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $57328.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $347.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $64.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC7KA0 PIMCO SWAPTION 3.951 PUT USD 2026062         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-10521.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2459.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2917.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-453.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $12004.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1044.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ICE 3MTH SONIA FU MAR27 IFLL 20270615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         44 | NC      | $20329.29     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                 | FREDDIE MAC FHR 5580 FA                                | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2599080 | PA      | $2620185.99   | 1.86%             | 2055-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-538.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                              | FIDELITY NATL INFORMATION SVCS                         | CUSIP: 31622GDP9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1396418.66   | 0.99%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                               | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7        | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100840.50    | 0.07%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ0049 FR 10/53 FIXED 5              | CUSIP: 3142GQBT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     433931 | PA      | $429568.34    | 0.31%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $478.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-7.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $458.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    1020000 | NC      | $72895.32     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3974.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.67000 04/03/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $817.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $57838.23     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERAUSST TRS EQUITY SOFR+43 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-74913.39    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25              | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3200000 | PA      | $184667.21    | 0.13%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4011.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -359877 | NC      | $-287.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-7360.52     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $634.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $22129.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UCAAA4 PIMCO SWAPTION 3.889 PUT USD 2026043         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $6240.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 06/18/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-18240.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.39000 10/01/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5319.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $21.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LASALLE STREET LENDING CLO I LTD 2023-1A | NEUBERGER BERMAN LOAN ADVISERS NEUBL 2023 1A A1R 144A  | CUSIP: 640977AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1000000 | PA      | $1000125.71   | 0.71%             | 2036-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.59000 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1928.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $82.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-170.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-15248.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $260863.66    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1895.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 07/26 0.00000                            | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $98891.54     | 0.07%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2952.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-335.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.487 04/03/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29208.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -2700000 | NC      | $-2194.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                       | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A    | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     290897 | PA      | $290538.62    | 0.21%             | 2038-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $480.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFXNT TRS EQUITY SOFR+29 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-1508120.82  | -1.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0146 G2 01/55 FIXED 5                   | CUSIP: 3618N5EU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     391365 | PA      | $388293.90    | 0.28%             | 2055-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $81.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2628.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-25.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-805.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260401                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-278.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11442000 | PA      | $11339265.16  | 8.05%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SKY0 PIMCO CDSOPT PUT USD 99.09375000 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   13800000 | NC      | $11913.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-124.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                       | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2        | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     178649 | PA      | $168170.74    | 0.12%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-543.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $197.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6      | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     600000 | PA      | $176053.33    | 0.13%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC               | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A    | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $600708.91    | 0.43%             | 2043-02-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4823.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7854.64     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/17/26-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7715.91      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $70.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6 JUMBOS                             | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2820000 | PA      | $2864419.26   | 2.03%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 01/35 11.75                 | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 6692100000 | PA      | $1659212.35   | 1.18%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1521.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1               | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23311 | PA      | $19914.45     | 0.01%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XIV-B LTD                                            | NORTHWOODS CAPITAL LTD WOODS 2018 14BA AR 144A         | CUSIP: 66860CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     433716 | PA      | $434203.54    | 0.31%             | 2031-11-13      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-17672.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                        | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1               | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        397 | PA      | $349.40       | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $594.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/27 0.5                              | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $284771.48    | 0.20%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CLP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-29093.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3289                                                        | FREDDIE MAC FHR 3289 FG                                | CUSIP: 31397FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23283 | PA      | $23071.41     | 0.02%             | 2037-03-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-566.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033         | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     700000 | PA      | $693054.58    | 0.49%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3901.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $348.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 01/31 6.5                   | CUSIP: ACI302XY4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  243162480 | PA      | $63468.54     | 0.05%             | 2031-01-22      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2669.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2700000 | NC      | $150569.01    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP JPM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $364218.81    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1323.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-19614.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RU20INTR TRS EQUITY SOFR+12 BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-25172.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RU20INTR TRS EQUITY SOFR+44 BOA                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-284064.26   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $264.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $360.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $199.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1061.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAV0A1 PIMCO SWAPTION 3.26 CALL USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $1671.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14585.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CLP SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-17651.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+28 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-315762.46   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-216.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                             | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45         | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101015.69    | 0.07%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-30.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MYR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-124.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000              | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1200000 | PA      | $70056.53     | 0.05%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260401                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $96.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                   | BX TRUST BX 2022 AHP A 144A                            | CUSIP: 05610FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2951748 | PA      | $2952095.33   | 2.10%             | 2039-01-17      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A2D       | CUSIP: 59023EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     366460 | PA      | $74969.34     | 0.05%             | 2037-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10489.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $997.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.28000 03/04/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2333.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1977.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260414                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-321.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4628.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC0TA6 PIMCO SWAPTION 3.6 PUT USD 20260602          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-34344.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-61.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $150.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.9271 05/08/25-01/04/27 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-16139.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1356.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1673.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SCN3 PIMCO CDSOPT PUT USD 102.23437500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-1615.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 5.00000 09/16/26-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-8328.06     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1817.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-987.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $346.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1483.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1111.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $216.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-13402.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-2676.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAUTA2 PIMCO SWAPTION 3.174 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $79.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1300000 | NC      | $68125.07     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.245 09/02/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-42155.00    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2         | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15045 | PA      | $13431.24     | 0.01%             | 2035-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A    | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52083 | PA      | $47824.39     | 0.03%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-11789.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RADMFXNT TRS EQUITY SOFR+29 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-50984.49    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-181.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MYR SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-1162.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5               | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4400000 | PA      | $243043.04    | 0.17%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ST PAUL'S CLO VIII DAC 8A                                               | ST PAULS CLO SPAUL 8A AN 144A                          | CUSIP: ACI29C1K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     278474 | PA      | $322200.76    | 0.23%             | 2030-07-17      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1067.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-173.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1331.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $2325.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $6107.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $278.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $314.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                 | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    7890000 | PA      | $437009.36    | 0.31%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | WELLS FARGO + COMPANY SR UNSECURED 03/28 VAR           | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     700000 | PA      | $694386.01    | 0.49%             | 2028-03-24      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-156.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $4621.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.81 01/27/26-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-15506.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY45 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $26892.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-725.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-436.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $300.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $674.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-309.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                        | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L            | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45420 | PA      | $31643.40     | 0.02%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-25.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.91000 12/29/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $342.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2D           | CUSIP: 61753EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376449 | PA      | $173083.91    | 0.12%             | 2037-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24876.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-5169.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $248.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-616.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.00000 09/16/26-30Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $125732.24    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-404.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $825.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-72591.51    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                         | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1             | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43403 | PA      | $22724.15     | 0.02%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.9255 05/08/25-01/04/27 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1438.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERADXULT TRS EQUITY SOFR+95.5 MYI                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-81129.44    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $45247.78     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UBSFA1 PIMCO SWAPTION 3.449 CALL USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2800000 | NC      | $19.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160000 | PA      | $146700.55    | 0.10%             | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SB46 PIMCO CDSOPT PUT USD 0.65 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   10600000 | NC      | $25392.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1546.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1816.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-179.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5685.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3010000 | PA      | $2902197.90   | 2.06%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -24 | NC      | $13662.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-99.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $172.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TPMT-2019-1                                                             | TOWD POINT MORTGAGE TRUST TPMT 2019 1 A1 144A          | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1134808 | PA      | $1101501.61   | 0.78%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-166486.03   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-883.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $377.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A         | CUSIP: 41161QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112649 | PA      | $57142.87     | 0.04%             | 2036-06-19      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A       | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41484 | PA      | $41099.54     | 0.03%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $16.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.40000 04/09/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $492.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-677.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-308.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1367.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   10400000 | PA      | $233211.06    | 0.17%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-502.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 14.0087 05/12/25-01/04/27 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-2824.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RU20INTR TRS EQUITY SOFR+32 CIB                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-238074.92   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AUST 3YR BOND FUT JUN26 XSFE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -3 | NC      | $948.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $15496.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $4816.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6700000 | PA      | $6277154.29   | 4.46%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $58.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1458.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CLP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $8438.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $43.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $186.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-99.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-6012.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MYR SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-265.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-97.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC8DA6 PIMCO SWAPTION 3.599 CALL USD 202606         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $15470.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4860.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07100 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2030.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $395.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     600000 | NC      | $29763.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1367.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $54201.10     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA SR UNSECURED 04/29 2.25           | CUSIP: ACI1N5XG5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  202635400 | PA      | $47893.58     | 0.03%             | 2029-04-18      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BRITISH TELECOMMUNICATIONS PL SNR SE ICE               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $1987.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.93000 03/24/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1710.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1810000 | PA      | $1818619.51   | 1.29%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $752.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1      | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185668 | PA      | $166056.66    | 0.12%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-28.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20261217                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1043.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $45.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.58000 08/29/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $4049.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1       | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        873 | PA      | $834.07       | 0.00%             | 2035-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-199.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $84554.44     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $261.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BANK OF AMERICA CORPORATION SNR S* ICE                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2620.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PHP SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $-314.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MYR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $268.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/35 4.25                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      96000 | PA      | $95655.00     | 0.07%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $6541.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.32 05/08/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1785.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $12.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-804.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2556.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS PLN 4.72250 12/01/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $3385.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2981.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-4054.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $57844.60     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $399.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1359.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2317.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260429                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-389.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-7390.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                                     | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A5        | CUSIP: 16162YAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22519 | PA      | $8680.46      | 0.01%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A1        | CUSIP: 126670KK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123546 | PA      | $113554.58    | 0.08%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                             | PHILLIPS 66                                            | CUSIP: 71855BE16<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1395125.90   | 0.99%             | 2026-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1195323 | PA      | $11641247.33  | 8.27%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87400 03/05/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-455.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-290.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-55.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A         | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        786 | PA      | $769.56       | 0.00%             | 2033-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020646<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3880000 | PA      | $-3126128.11  | -2.22%            | 2056-04-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $107.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SJW6 PIMCO FXVAN PUT USD KRW 1350.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -240000 | NC      | $-473.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                            | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7    | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   30000000 | PA      | $31730.83     | 0.02%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260506                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-175.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $344.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ERADXULN TRS EQUITY SOFR+39 JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-112016.01   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1338.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $861.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CLP SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-12190.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260626                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $310.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8780000 | PA      | $8286195.42   | 5.88%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-8143.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.61000 03/24/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3826.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+35.5 MYI                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-123898.96   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $266.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5230000 | PA      | $-4398103.13  | -3.12%            | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-357.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-78.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $5154.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $328.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-433.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $338.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                          | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                 | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15030 | PA      | $14548.03     | 0.01%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.11000 08/25/27-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2185.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-725.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.16 SP SAL                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-4240.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A APT1 144A    | CUSIP: 78448YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     946467 | PA      | $871669.85    | 0.62%             | 2053-01-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $32074.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $22867.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PHP BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |          1 | NC      | $231.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-56086.95    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC62A2 PIMCO SWAPTION 3.7825 PUT USD 202606         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-19746.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90750 03/04/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1423.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer