# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004414
**Filing Date:** 2025-11
**Character Count:** 116712
**Document Hash:** 1346de8918f4875a00fff7a0b2d38e31
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004414.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004414

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528217

**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 Long-Term U.S. Government Fund (Series ID: S000009690)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026570 | Institutional | PGOVX           |
| C000026572 | A             | PFGAX           |
| C000026574 | C             | PFGCX           |
| C000064142 | I-2           | PLTPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Long-Term U.S. Government Fund

- **b. EDGAR series identifier (if any):** S000009690

- **c. LEI of Series:** HSAHZUJT0Z4FBUGY5S47

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1667628599.72

**Total Liabilities:** $878562159.68

**Net Assets:** $789066440.04

**Cash Not Reported:** $5821199.21

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 458.910300 | **1-Year:** 20988.015800 | **5-Year:** 53026.911100 | **10-Year:** 12189.131100 | **30-Year:** 299.692100

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

- **3-Month:** 13.425600 | **1-Year:** 630.188900 | **5-Year:** 1041.135400 | **10-Year:** 12.081200 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026572 | -0.71%               | 0.53%                | 2.96%                |
| Class ID C000026574 | -0.77%               | 0.47%                | 2.90%                |
| Class ID C000064142 | -0.69%               | 0.55%                | 2.98%                |
| Class ID C000026570 | -0.68%               | 0.56%                | 2.99%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $373769.26               | $-13924382.35                              |
| Month 2  | $765191.14               | $4850501.81                                |
| Month 3  | $644140.86               | $25475984.82                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Long Treasury Total Return Unhedged Index

- **Index Identifier:** LUTLTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA PASS THRU POOLS                                                    | FNMA POOL 560837 FN 10/30 FIXED 9                     | CUSIP: 31386EBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        242 | PA      | $244.64        | 0.00%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/43 3.125                           | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59600000 | PA      | $48664797.02   | 6.17%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008781 G2 01/26 FLOATING VAR             | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $52.96         | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.61000 12/12/22-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-501.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                 | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1     | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69817 | PA      | $24399.77      | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6300000 | PA      | $6511301.62    | 0.83%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008968 G2 09/26 FLOATING VAR             | CUSIP: 36202K6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1508 | PA      | $1513.16       | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                 | COMM MORTGAGE TRUST COMM 2016 667M A 144A             | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2640453.48    | 0.33%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1        | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75402 | PA      | $75261.46      | 0.01%             | 2042-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 03/29 2.375                           | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24500000 | PA      | $23479326.08   | 2.98%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                                      | FANNIE MAE FNR 2000 34 F                              | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        532 | PA      | $527.85        | 0.00%             | 2030-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080152 G2 01/28 FLOATING VAR             | CUSIP: 36225CE28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2764 | PA      | $2765.29       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 3A1       | CUSIP: 07384MTK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2296 | PA      | $2324.21       | 0.00%             | 2033-04-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/45 4.75                            | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23500000 | PA      | $23652382.93   | 3.00%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V6 MORTGAGE TRUST                                        | BENCHMARK MORTGAGE TRUST BMARK 2024 V6 A3             | CUSIP: 081927AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2092675.80    | 0.27%             | 2057-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/40 1.125                           | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10470000 | PA      | $6671966.56    | 0.85%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/53 3.625                           | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19400000 | PA      | $16028113.35   | 2.03%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                             | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1               | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         50 | PA      | $51.31         | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | 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      | $-21509.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/30 3.75                            | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $3903427.75    | 0.49%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.27750 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27693.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W5                                            | FANNIEMAE WHOLE LOAN FNW 2002 W5 A11                  | CUSIP: 31392DJ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272144 | PA      | $285064.98     | 0.04%             | 2032-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A        | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3382 | PA      | $3178.85       | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.9914* 06/02/25-28Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $41171.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/51 2.375                           | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2400000 | PA      | $1544625.00    | 0.20%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) DEC25 XCBT 20251231                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -11 | NC      | $-3751.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC5                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC5 M1      | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400669 | PA      | $401221.44     | 0.05%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5200000 | NC      | $-31715.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VESSEL MANAGEMENT SERVICES INC                                          | VESSEL MANAGEMENT SERVIC US GOVT GUAR 08/36 3.432     | CUSIP: 228027AA6<br>LEI: 549300FGG4OD84UNFA43 | Long             | DBT              | CORP              | US        |    3023000 | PA      | $2703365.36    | 0.34%             | 2036-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT DEC25 XCBT 20251219                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -519 | NC      | $-1829275.72   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008746 G2 11/25 FLOATING VAR             | CUSIP: 36202KWF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.46          | 0.00%             | 2025-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008959 G2 08/26 FLOATING VAR             | CUSIP: 36202K5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $159.07        | 0.00%             | 2026-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US LONG BOND(CBT) DEC25 XCBT 20251219                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -900 | NC      | $-2271975.39   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BARCLAYS REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11413750 | PA      | $-11415125.99  | -1.45%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A     | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     436006 | PA      | $438651.66     | 0.06%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/53 4.125                           | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13000000 | PA      | $11754335.97   | 1.49%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/51 1.875                           | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19100000 | PA      | $10914232.40   | 1.38%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/33 1.125                           | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23055407 | PA      | $22353179.88   | 2.83%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A      | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280497 | PA      | $258092.72     | 0.03%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                      | FANNIE MAE FNR 2007 73 A1                             | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29735 | PA      | $29215.29      | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87400 03/05/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13471.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-WMC3                                     | MASTR ASSET BACKED SECURITIES MABS 2004 WMC3 M1       | CUSIP: 57643LFN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     596682 | PA      | $582968.86     | 0.07%             | 2034-10-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/45 3                               | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     680000 | PA      | $526760.94     | 0.07%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080054 G2 03/27 FLOATING VAR             | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1535 | PA      | $1537.50       | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/52 2.875                           | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20400000 | PA      | $14561296.82   | 1.85%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-134326.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-93.15        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A       | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157325 | PA      | $137035.67     | 0.02%             | 2046-08-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                          | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 5C37 A3     | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1841793.48    | 0.23%             | 2058-09-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126712 | PA      | $34168.33      | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-33                                               | FANNIE MAE FNR 2014 33 PZ                             | CUSIP: 3136AKAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3535116 | PA      | $3267785.60    | 0.41%             | 2044-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008971 G2 09/26 FLOATING VAR             | CUSIP: 36202K6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $62.84         | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46382 09/03/24-25Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $363768.16     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 624085 FN 01/32 FIXED 6.5                   | CUSIP: 31389FJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2060 | PA      | $2127.37       | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.71500 08/07/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6452.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                      | FANNIE MAE FNR 2002 21 FD                             | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $840.49        | 0.00%             | 2032-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/48 3                               | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     150000 | PA      | $113302.73     | 0.01%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-2A                                     | HERTZ VEHICLE FINANCING LLC HERTZ 2022 2A A 144A      | CUSIP: 42806MAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1165761.60    | 0.15%             | 2028-06-26      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                    | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1        | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        210 | PA      | $216.34        | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.67875 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-318554.15    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK-2018-BN11                                                          | BANK BANK 2018 BN11 A3                                | CUSIP: 06540TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $795844.00     | 0.10%             | 2061-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/29 4.125                           | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $508037.11     | 0.06%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13638.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -23705625 | PA      | $-23719815.45  | -3.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/43 3.625                           | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15300000 | PA      | $13354031.25   | 1.69%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84200 12/26/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6258.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2018-1A                                   | ECMC GROUP STUDENT LOAN TRUST ECMC 2018 1A A 144A     | CUSIP: 26828HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     412365 | PA      | $411019.75     | 0.05%             | 2068-02-27      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4790                                                        | FREDDIE MAC FHR 4790 F                                | CUSIP: 3137F5BX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1099679 | PA      | $1077980.12    | 0.14%             | 2043-10-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS7                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A1       | CUSIP: 748940AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258152 | PA      | $207198.33     | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4265133.58    | 0.54%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60500 08/28/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $32.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/52 3                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   66300000 | PA      | $48506478.27   | 6.15%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2059                                                        | FREDDIE MAC FHR 2059 C                                | CUSIP: 3133TDV94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4164 | PA      | $4231.27       | 0.00%             | 2028-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2990                                                        | FREDDIE MAC FHR 2990 DZ                               | CUSIP: 31395UZZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1159704 | PA      | $1212860.73    | 0.15%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1           | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153102 | PA      | $148411.35     | 0.02%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-179878.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/41 4.375                           | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29580000 | PA      | $29075060.23   | 3.68%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/43 4.375                           | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68400000 | PA      | $66034054.94   | 8.37%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 802467 FN 11/34 FLOATING VAR                | CUSIP: 31405XQU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15014 | PA      | $15353.57      | 0.00%             | 2034-11-01      | Floating      | 6.64%                 | 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      | $-30874.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/42 3.25                            | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22800000 | PA      | $19162687.50   | 2.43%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-HHV                                               | HILTON USA TRUST HILT 2016 HHV A 144A                 | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2130000 | PA      | $2108943.25    | 0.27%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3001                                                        | FREDDIE MAC FHR 3001 YZ                               | CUSIP: 31395WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61810 | PA      | $61476.51      | 0.01%             | 2035-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3       | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31661 | PA      | $29471.85      | 0.00%             | 2033-10-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                        | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A2A 144A        | CUSIP: 89178WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $833039.82     | 0.11%             | 2060-01-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A  | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87111 | PA      | $84242.02      | 0.01%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 732218 FN 06/43 FLOATING VAR                | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35389 | PA      | $35765.11      | 0.00%             | 2043-06-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-47.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/48 3.375                           | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   79700000 | PA      | $64046421.88   | 8.12%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5200000 | NC      | $-694.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                     | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A      | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1343047 | PA      | $1352688.38    | 0.17%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/28 1.5                             | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20700000 | PA      | $19385630.94   | 2.46%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008850 G2 04/26 FLOATING VAR             | CUSIP: 36202KZP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $100.46        | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT DEC25 XCBT 20251219                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1406 | NC      | $-1714895.04   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/42 2.375                           | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28000000 | PA      | $20757734.48   | 2.63%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/40 1.125                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   99760000 | PA      | $62950118.25   | 7.98%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 851183 FN 04/36 FIXED 6.5                   | CUSIP: 31408GUG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2683 | PA      | $2792.86       | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | 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      | $-21816.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/30 4.875                           | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2838638.68    | 0.36%             | 2030-10-31      | Fixed         | 4.88%                 | 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        |      31233 | PA      | $31316.10      | 0.00%             | 2038-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 06/29 3.25                            | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20800000 | PA      | $20492468.67   | 2.60%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/43 3.875                           | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33100000 | PA      | $30051179.52   | 3.81%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/46 2.5                             | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2028000 | PA      | $1426650.46    | 0.18%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 06/32 4                               | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26200000 | PA      | $26339699.19   | 3.34%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING CORP                                                 | RESOLUTION FUNDING STRIP BONDS 10/28 0.00000          | CUSIP: 76116EHL7<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    6371000 | PA      | $5704820.72    | 0.72%             | 2028-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/30 4.375                           | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5300000 | PA      | $5450511.73    | 0.69%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4536 | PA      | $4422.33       | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                  | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1      | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9028 | PA      | $4110.80       | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 02/26/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2758.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 786067 FH 01/28 FLOATING VAR        | CUSIP: 31348SW42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2802 | PA      | $2801.61       | 0.00%             | 2028-01-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/41 1.75                            | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60400000 | PA      | $41000038.84   | 5.20%             | 2041-08-15      | Fixed         | 1.75%                 | 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        |    2176785 | PA      | $2071345.23    | 0.26%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.36832 09/03/24-25Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $188130.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 313968 FN 12/27 FLOATING VAR                | CUSIP: 31374GW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4740 | PA      | $4768.16       | 0.00%             | 2027-12-01      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   60800000 | PA      | $62105405.79   | 7.87%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-1965.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -64303875 | PA      | $-64402679.69  | -8.16%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/43 3.875                           | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60400000 | PA      | $54728062.50   | 6.94%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64300 08/28/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1131.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 786064 FH 01/28 FLOATING VAR        | CUSIP: 31348SWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1848 | PA      | $1847.99       | 0.00%             | 2028-01-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS USD SOFR/1.75000 10/23/23-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2286218.97    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2585                                                        | FREDDIE MAC FHR 2585 FD                               | CUSIP: 31393MH61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4232 | PA      | $4215.05       | 0.00%             | 2032-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/44 4.5                             | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48100000 | PA      | $47057206.91   | 5.96%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4376                                                 | FREDDIE MAC FHR 4376 KZ                               | CUSIP: 3137BCU48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5002349 | PA      | $4841450.06    | 0.61%             | 2042-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/40 1.375                           | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9060000 | PA      | $5914658.19    | 0.75%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 06/30 3.75                            | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6600000 | PA      | $6603996.10    | 0.84%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/48 3                               | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47000000 | PA      | $35349140.86   | 4.48%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22067.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080030 G2 01/27 FLOATING VAR             | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        495 | PA      | $494.63        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BMO 2023-5C2 MORTGAGE TRUST                                             | BMO MORTGAGE TRUST BMO 2023 5C2 A3                    | CUSIP: 05610QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1931881.14    | 0.24%             | 2056-11-15      | Variable      | 7.30%                 | 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        |      83646 | PA      | $83601.63      | 0.01%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-2322.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/42 4                               | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   72000000 | PA      | $66591562.32   | 8.44%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-66                                               | FANNIE MAE FNR 2014 66 QZ                             | CUSIP: 3136ALFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2389275 | PA      | $2302399.29    | 0.29%             | 2044-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 03/30 3.625                           | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $3884689.46    | 0.49%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                           | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42682 | PA      | $42620.97      | 0.01%             | 2033-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080123 G2 10/27 FLOATING VAR             | CUSIP: 36225CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $452.07        | 0.00%             | 2027-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 775852 FN 03/44 FLOATING VAR                | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40456 | PA      | $40952.94      | 0.01%             | 2044-03-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1    | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9319 | PA      | $9021.54       | 0.00%             | 2045-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008988 G2 10/26 FLOATING VAR             | CUSIP: 36202K6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $83.80         | 0.00%             | 2026-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2551                                                        | FREDDIE MAC FHR 2551 FD                               | CUSIP: 31393JAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9141 | PA      | $9122.61       | 0.00%             | 2033-01-15      | Floating      | 4.89%                 | 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      | $-9852.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2927                                                        | FREDDIE MAC FHR 2927 YZ                               | CUSIP: 31395MLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     265870 | PA      | $266212.24     | 0.03%             | 2035-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                          | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A             | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1081743.36    | 0.14%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55100 09/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6158.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.53200 08/20/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6452.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/50 2                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     310000 | PA      | $185449.02     | 0.02%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A      | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116611 | PA      | $112740.23     | 0.01%             | 2035-05-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AS8270 FN 11/46 FIXED 2.5                   | CUSIP: 3138WJFL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101567 | PA      | $88288.12      | 0.01%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5500000 | NC      | $-1161.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 07/21/21-10Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $850114.48     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2469                                                        | FREDDIE MAC FHR 2469 FV                               | CUSIP: 31392RDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2860 | PA      | $2853.84       | 0.00%             | 2030-06-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14200000 | PA      | $13775309.52   | 1.75%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                    | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A       | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1433569 | PA      | $1434683.83    | 0.18%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/47 2.75                            | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     150000 | PA      | $108785.16     | 0.01%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)DEC25 XCBT 20251219                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         10 | NC      | $9127.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-38                                                      | FANNIE MAE FNR 1997 38 PH                             | CUSIP: 31359PXL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1052.82       | 0.00%             | 2027-05-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/27 2.625                           | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2200000 | PA      | $2163863.28    | 0.27%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                  | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A    | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617012 | PA      | $608009.38     | 0.08%             | 2036-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.28000 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29979.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 885414 FN 06/36 FIXED 6.5                   | CUSIP: 31410CVF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1109 | PA      | $1172.57       | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $705356.43     | 0.09%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/34 4                               | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52000000 | PA      | $51875078.32   | 6.57%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-30                                                      | FANNIE MAE FNR 2007 30 MZ                             | CUSIP: 31396VHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104872 | PA      | $104557.46     | 0.01%             | 2037-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2500000 | NC      | $-917.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 826082 FN 07/35 FLOATING VAR                | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6026 | PA      | $6102.23       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                        | TENN VALLEY AUTH BONDS 05/30 0.00000                  | CUSIP: 88059FBG5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    7400000 | PA      | $6192182.95    | 0.78%             | 2030-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 970372 FN 02/38 FIXED 7                     | CUSIP: 31414MQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4980 | PA      | $5202.57       | 0.00%             | 2038-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.400 03/30/21-5Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $313239.14     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-52                                               | FANNIE MAE FNR 2014 52 AZ                             | CUSIP: 3136AKE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3425630 | PA      | $3317107.08    | 0.42%             | 2044-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/54 4.625                           | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4600000 | PA      | $4520757.82    | 0.57%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                   | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1       | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     439088 | PA      | $395393.44     | 0.05%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-28                                                      | FANNIE MAE FNR 2001 28 PZ                             | CUSIP: 313920DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92314 | PA      | $94503.06      | 0.01%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF MONTREAL REVERSE REPO            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -44600625 | PA      | $-44643441.60  | -5.66%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/34 1.75                            | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18180224 | PA      | $18272684.62   | 2.32%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4677                                                        | FREDDIE MAC FHR 4677 KT                               | CUSIP: 3137BXHP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1670553 | PA      | $1466744.44    | 0.19%             | 2042-12-15      | Floating      | 0.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.92500 12/31/25-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42387.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SLAM 2025-1A LTD                                                        | SLAM LLC SLAM 2025 1A A 144A                          | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     979927 | PA      | $1007416.73    | 0.13%             | 2050-05-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008989 G2 10/26 FLOATING VAR             | CUSIP: 36202K7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $29.84         | 0.00%             | 2026-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-55                                                      | FANNIE MAE FNR 1997 55 Z                              | CUSIP: 31359QCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $872.71        | 0.00%             | 2027-05-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008830 G2 03/26 FLOATING VAR             | CUSIP: 36202KY33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         55 | PA      | $55.08         | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/52 4                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51650000 | PA      | $45718320.31   | 5.79%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1       | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        792 | PA      | $756.93        | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080051 G2 03/27 FLOATING VAR             | CUSIP: 36225CBV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        621 | PA      | $621.87        | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REPU STATE STREET GLOBAL MARKE USD REPU SSB T         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -283824856 | PA      | $-283859309.18 | -35.97%           |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080133 G2 11/27 FLOATING VAR             | CUSIP: 36225CEF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4336 | PA      | $4371.36       | 0.00%             | 2027-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2990                                                        | FREDDIE MAC FHR 2990 LT                               | CUSIP: 31395V3N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6160734 | PA      | $6379998.33    | 0.81%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                  | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 A2 144A  | CUSIP: 35563CAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6317496 | PA      | $5411798.24    | 0.69%             | 2052-10-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/52 2.25                            | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4500000 | PA      | $2792285.15    | 0.35%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -48 | NC      | $-10283.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -116 | NC      | $-23562.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4 JUMBOS                            | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7521728.88    | 0.95%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.52738 09/03/24-25Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $70391.76      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5500000 | NC      | $-18358.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-131                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 131 EZ        | CUSIP: 38379E2Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3614289 | PA      | $3417115.84    | 0.43%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1      | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130521 | PA      | $125449.72     | 0.02%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-136218.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST 2024-SFR1                                        | INVITATION HOMES TRUST IHSFR 2024 SFR1 A 144A         | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3194528 | PA      | $3140244.76    | 0.40%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/54 4.25                            | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18300000 | PA      | $16896761.67   | 2.14%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 06/03/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-352555.03    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43091 09/03/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5277.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |    -500000 | NC      | $-121.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008894 G2 06/26 FLOATING VAR             | CUSIP: 36202K3B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $197.21        | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4745                                                 | FREDDIE MAC FHR 4745 CZ                               | CUSIP: 3137FDBN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10779096 | PA      | $9848287.78    | 1.25%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080408 G2 05/30 FLOATING VAR             | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21036 | PA      | $21055.33      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 09/30 4.625                           | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2806945.33    | 0.36%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.59900 08/28/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $686.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/53 3.625                           | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51800000 | PA      | $42836171.62   | 5.43%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B9                                        | BENCHMARK MORTGAGE TRUST BMARK 2019 B9 A5             | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3631491.17    | 0.46%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-30776.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/30 4                               | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3700000 | PA      | $3743937.50    | 0.47%             | 2030-05-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.24000 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14035.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                                                | SEQUOIA MORTGAGE TRUST SEMT 5 A                       | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1631 | PA      | $1610.63       | 0.00%             | 2026-10-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1     | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53859 | PA      | $44468.52      | 0.01%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-81.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/32 0.625                           | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1556520 | PA      | $1473744.00    | 0.19%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL A38713 FG 01/35 FIXED 6.5           | CUSIP: 31297UVE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        780 | PA      | $810.78        | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85400 12/29/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20005.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 878140 FN 07/36 FIXED 6.5                   | CUSIP: 31409TS58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1106 | PA      | $1142.02       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.7* 03/30/21-10Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1406119.91    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 564318 FN 11/30 FIXED 9                     | CUSIP: 31386H4B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $44.68         | 0.00%             | 2030-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $519015.56     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/41 4.75                            | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10750000 | PA      | $11031347.71   | 1.40%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1       | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128534 | PA      | $89499.61      | 0.01%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -100000 | PA      | $-84265.21     | -0.01%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2477                                                        | FREDDIE MAC FHR 2477 FZ                               | CUSIP: 31392PU94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3273 | PA      | $3267.94       | 0.00%             | 2031-06-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.23200 09/10/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40276.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1           | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     629543 | PA      | $578407.92     | 0.07%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                           | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A2        | CUSIP: 802919AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      88594 | PA      | $88633.93      | 0.01%             | 2027-07-15      | Fixed         | 5.41%                 | 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        |     160238 | PA      | $87618.02      | 0.01%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 616571 G2 08/34 FIXED 6.5                | CUSIP: 36290S6G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $368.73        | 0.00%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                           | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232641 | PA      | $219691.04     | 0.03%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND              | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      10597 | PA      | $103201.56     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.39500 10/25/23-5Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-519905.80    | -0.07%            |  |  |  | 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      | $1605.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14900000 | PA      | $14768707.16   | 1.87%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/41 2                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45200000 | PA      | $31759179.74   | 4.02%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080000 G2 10/26 FLOATING VAR             | CUSIP: 36225CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        357 | PA      | $356.82        | 0.00%             | 2026-10-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3001                                                        | FREDDIE MAC FHR 3001 BZ                               | CUSIP: 31395W6J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61810 | PA      | $61476.51      | 0.01%             | 2035-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 944027 FN 08/37 FIXED 6.5                   | CUSIP: 31413FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $386.09        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                       | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A        | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         44 | PA      | $43.68         | 0.00%             | 2030-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS (AKA: FEDERAL FARM CREDIT BANKS FUNDING CORP) | FEDERAL FARM CREDIT BANK BONDS 07/29 5.125            | CUSIP: 31331VEG7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |     675000 | PA      | $706909.82     | 0.09%             | 2029-07-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2143                                                        | FREDDIE MAC FHR 2143 FG                               | CUSIP: 3133TKM23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $534.05        | 0.00%             | 2029-04-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008865 G2 05/26 FLOATING VAR             | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        200 | PA      | $199.96        | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/30 4.125                           | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2745720.69    | 0.35%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 901457 FN 10/36 FIXED 6.5                   | CUSIP: 31410YQJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2529 | PA      | $2654.24       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | 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        |    2800000 | PA      | $2780203.13    | 0.35%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4047                                                 | FREDDIE MAC FHR 4047 KB                               | CUSIP: 3137AQRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5490399 | PA      | $4907524.52    | 0.62%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.66213 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-155790.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/55 4.625                           | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16100000 | PA      | $15830828.13   | 2.01%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080059 G2 04/27 FLOATING VAR             | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $147.67        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-118                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 118 PZ        | CUSIP: 38379EGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2373218 | PA      | $2271847.08    | 0.29%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 616624 G2 09/34 FIXED 6.5                | CUSIP: 36290TAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3022 | PA      | $3158.52       | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-6                                                     | IMPAC CMB TRUST IMM 2005 6 1A1                        | CUSIP: 45254NQG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     599260 | PA      | $548923.02     | 0.07%             | 2035-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/54 4.5                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5800000 | PA      | $5586125.00    | 0.71%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4.5 JUMBOS                          | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2423418.23    | 0.31%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2003-65                                      | GOVERNMENT NATIONAL MORTGAGE A GNR 2003 65 ZA         | CUSIP: 38374BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     419060 | PA      | $418801.17     | 0.05%             | 2033-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -116 | NC      | $-15965.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.69387 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-182126.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008722 G2 10/25 FLOATING VAR             | CUSIP: 36202KVP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.30          | 0.00%             | 2025-10-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-4                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 4 1A2        | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     357449 | PA      | $330198.74     | 0.04%             | 2037-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -48 | NC      | $-5350.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO THE BANK OF NOVA REVERSE REPO            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -181535812 | PA      | $-181668333.64 | -23.02%           |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 09/29 3.875                           | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53200000 | PA      | $53573023.50   | 6.79%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A5            | CUSIP: 46630GAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20040 | PA      | $20036.54      | 0.00%             | 2035-07-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 505597 FN 04/28 FLOATING VAR                | CUSIP: 31383KUW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        972 | PA      | $973.92        | 0.00%             | 2028-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A  | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590982 | PA      | $569350.96     | 0.07%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/44 4.625                           | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10500000 | PA      | $10405253.88   | 1.32%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1           | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25782 | PA      | $26543.69      | 0.00%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 902150 FN 10/36 FIXED 6.5                   | CUSIP: 31411AH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9597 | PA      | $9909.69       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/49 3                               | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64143800 | PA      | $48041450.90   | 6.09%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/49 2.25                            | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55590000 | PA      | $35495083.32   | 4.50%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                        | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A   | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $1787388.50    | 0.23%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) DEC25 XCBT 20251231                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -211 | NC      | $26943.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/27 4.125                           | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $202070.31     | 0.03%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer