# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003057
**Filing Date:** 2026-3
**Character Count:** 333980
**Document Hash:** b5744f158d4f1a9eefaa5251f43a49fd
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003057.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003057

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705869

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

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

## Series and Classes Contracts Data

### PIMCO Global Core Bond (Hedged) Portfolio (Series ID: S000031688)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000098620 | Administrative | PGASADM         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Global Core Bond (Hedged) Portfolio

- **b. EDGAR series identifier (if any):** S000031688

- **c. LEI of Series:** UC4Z8SQC322PZJGHCE49

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $178206452.18

**Total Liabilities:** $100286994.30

**Net Assets:** $77919457.88

**Cash Not Reported:** $2328929.33

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 344.721000 | **1-Year:** 7938.511900 | **5-Year:** 24065.074300 | **10-Year:** 11469.062800 | **30-Year:** 870.930500

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

- **3-Month:** 95.962100 | **1-Year:** 359.047100 | **5-Year:** 1377.730600 | **10-Year:** 414.496100 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000098620 | 1.24%                | 0.18%                | 0.13%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-36523.90               | $25264.09                                  |
| Month 2  | $-645478.70              | $718931.61                                 |
| Month 3  | $117195.18               | $-58065.50                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Global-Aggregate Total Return Hedged Index

- **Index Identifier:** LEGATRUH

### Schedule of Portfolio Investments

| Name                                                     | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                      | SOLD ZAR BOUGHT USD 20260805                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-15025.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $459.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $135.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $176.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL BR1297 FN 02/51 FIXED 2.5                       | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64246 | PA      | $54756.09     | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                  | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25           | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     150000 | PA      | $147320.67    | 0.19%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 02/41 1.875                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1700000 | PA      | $1188273.45   | 1.52%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2026.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.83603 12/02/24-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3108.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $205.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750S543 PIMCO FXVAN PUT EUR HUF 375.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     127000 | NC      | $219.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.40000 03/14/24-9Y* LC                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-8290.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260305                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-98.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $506.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $635.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1           | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85268 | PA      | $39763.95     | 0.05%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KZT BOUGHT USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-138.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS KRW 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-30129.00    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.93000 06/25/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6181.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2702.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $648.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $278.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.00000 03/18/26-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-280.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-75061.94    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                       | DRILLCO HLDG LUX S A COMMON STOCK                         | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       2408 | NS      | $54330.50     | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3   | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     740000 | PA      | $887275.76    | 1.14%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $3647.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260520                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $41.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX IG45 10Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-14351.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $218.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | AUST 3YR BOND FUT MAR26 XSFE 20260316                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          4 | NC      | $48.50        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | IRS EUR 3.00000 03/19/25-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $34066.69     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-210027.95   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $63.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $81.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $103.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAUL-11A                                                | ST PAULS CLO SPAUL 11A AR 144A                            | CUSIP: ACI2SP260<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     425945 | PA      | $501062.89    | 0.64%             | 2032-01-17      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                  | BCAP LLC TRUST BCAP 2007 AA2 12A1                         | CUSIP: 05530NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55126 | PA      | $53758.12     | 0.07%             | 2047-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                     | GCAT GCAT 2023 NQM4 A1 144A                               | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     414438 | PA      | $396476.12    | 0.51%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-240.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $278.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6553.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.86629 03/18/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10910.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-81.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10354.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $564.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5      | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     400000 | PA      | $407936.00    | 0.52%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-452.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1988.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED 144A 04/42 2.875                     | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $77645.46     | 0.10%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                              | UNITED MEXICAN STATES UNITED MEXICAN STATES               | CUSIP: ACI2MJSF2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     100000 | PA      | $120054.91    | 0.15%             | 2032-05-25      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HKD BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $643.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $3196.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | SOUTH AFRICAN T BILLS BILLS 04/26 0.00000                 | CUSIP: ACI2WQ115<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1930000 | PA      | $114415.43    | 0.15%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75     | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $204348.67    | 0.26%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR2                      | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1           | CUSIP: 39538RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30820 | PA      | $24711.21     | 0.03%             | 2045-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR FUT OPTN  FEB26P 111.5 EXP 01/23/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -3 | NC      | $-468.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA 144A 01/31 VAR                                    | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     300000 | PA      | $313673.73    | 0.40%             | 2031-01-14      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $153.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |     802020 | PA      | $102872.67    | 0.13%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-11077.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 03/51 0.7                     | CUSIP: BNKDTMII1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   13000000 | PA      | $45939.03     | 0.06%             | 2051-03-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL FM3243 FN 02/50 FIXED VAR                       | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47108 | PA      | $44070.84     | 0.06%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.75000 03/19/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-44726.73    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-2                    | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 2 3A1           | CUSIP: 69337HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16796 | PA      | $15690.09     | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR              | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     300000 | PA      | $306597.38    | 0.39%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                               | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65             | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     200000 | PA      | $146995.47    | 0.19%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $130.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $425.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-11160.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                              | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    9300000 | PA      | $1641733.11   | 2.11%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | STATE OF ISRAEL SR UNSECURED 03/34 5.5                    | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $207451.28    | 0.27%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS SEK 2.47375 02/03/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $4273.21      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-343.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $95.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 3.00000 03/18/26-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $8944.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CZK BOUGHT USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-593.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $382.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1           | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133974 | PA      | $75961.38     | 0.10%             | 2047-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $865.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                              | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016            | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     200000 | PA      | $200517.87    | 0.26%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.50000 09/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $4059.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                        | NATWEST GROUP PLC SR UNSECURED 09/28 VAR                  | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $307848.45    | 0.40%             | 2028-09-30      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-112817.35   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $18505.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     142000 | NC      | $79.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1200000 | PA      | $1078453.13   | 1.38%             | 2055-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4861.37     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | REVERSE REPO DEUTSCHE REVERSE REPO                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -197500 | PA      | $-197801.08   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                            | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                   | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     306755 | PA      | $82987.55     | 0.11%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1207.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-51.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-912.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BARCLAYS REPO EUR ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |     170460 | PA      | $200324.59    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5334.47      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $114.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL G08808 FG 04/48 FIXED 3.5               | CUSIP: 3128MJ3S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60489 | PA      | $56889.31     | 0.07%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                  | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1         | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33754 | PA      | $31270.87     | 0.04%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL FM1796 FN 10/34 FIXED VAR                       | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13598 | PA      | $13414.47     | 0.02%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                     | GCAT GCAT 2022 INV2 A5 144A                               | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     315032 | PA      | $276476.62    | 0.35%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL G08788 FG 11/47 FIXED 3.5               | CUSIP: 3128MJ2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73714 | PA      | $69305.58     | 0.09%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE               | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                    | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3206 | PA      | $2955.24      | 0.00%             | 2033-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000       | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     650000 | PA      | $730559.55    | 0.94%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                  | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A            | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500375.00    | 0.64%             | 2034-08-16      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.00500 09/29/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2288.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II POOL MA7988 G2 04/52 FIXED 3                      | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1266117 | PA      | $1139915.19   | 1.46%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                       | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A          | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     473861 | PA      | $416447.50    | 0.53%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CAD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-59640.54    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.88400 03/25/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1517.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                       | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   60000000 | PA      | $333332.48    | 0.43%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-10821.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 11/50 1.625                               | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      50000 | PA      | $26263.67     | 0.03%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3300000 | PA      | $3003255.75   | 3.85%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.50000 03/18/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $310.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $94.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $699.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                      | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875         | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     100000 | PA      | $116410.92    | 0.15%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5               | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17193 | PA      | $16516.28     | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $1234.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1107.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-887.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-4134.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                       | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A          | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499800 | PA      | $437384.60    | 0.56%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.95913 02/12/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7082.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-10.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5500000 | PA      | $-4447243.74  | -5.71%            | 2055-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1816.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-359.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                     | ROYAL BANK OF CANADA SR UNSECURED 08/30 VAR               | CUSIP: 78016HZZ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $102514.56    | 0.13%             | 2030-08-02      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $42.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1          | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40721 | PA      | $33548.98     | 0.04%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-586.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $97.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8873.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5115.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $79.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $8797.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                         | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25            | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     200000 | PA      | $127916.32    | 0.16%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                     | JYSKE REALKREDIT A/S COVERED 10/50 1                      | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |      19715 | PA      | $2322.26      | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $566.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDONESIA GOVT                                           | REPUBLIC OF INDONESIA SR UNSECURED 01/37 4.125            | CUSIP: ACI2T3D41<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     100000 | PA      | $117898.41    | 0.15%             | 2037-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $5.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.93000 03/24/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2307.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | US 2YR NOTE (CBT) MAR26 XCBT 20260331                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -5 | NC      | $-611.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.00000 03/18/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-18276.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11647.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $562.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-396.90      | -0.00%            |  |  |  | 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        |    1200000 | PA      | $1156218.74   | 1.48%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1770.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-2059.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $62658.02     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1             | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A      | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     484419 | PA      | $424807.25    | 0.55%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A              | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30470 | PA      | $28273.38     | 0.04%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $872.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $23544.86     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 10/30 VAR            | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101392.45    | 0.13%             | 2030-10-23      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PEN SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $16.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 AF6             | CUSIP: 126670TH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1762 | PA      | $1744.82      | 0.00%             | 2036-07-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.00000 03/18/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5098.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260312                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $680.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000                 | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     700000 | PA      | $41084.84     | 0.05%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15             | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $32106.16     | 0.04%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL QH4279 FR 11/53 FIXED 6.5               | CUSIP: 3133CGXG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     270929 | PA      | $281634.80    | 0.36%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $46.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $205.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.3000 01/18/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-1581.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11370.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1.5            | CUSIP: BDDX39II4<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL 753173 FN 12/33 FIXED 4.5                       | CUSIP: 31403MXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27216 | PA      | $27111.97     | 0.03%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED 144A 12/29 1.375                     | CUSIP: ACI1T3QY3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      90000 | PA      | $97253.68     | 0.12%             | 2029-12-02      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                       | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A          | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468012 | PA      | $410723.37    | 0.53%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CZK 1.91250 01/30/19-10Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-3812.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-54.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      34000 | NC      | $19.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.25000 03/19/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $47623.71     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-207.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                     | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   11000000 | PA      | $38495.08     | 0.05%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7         | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3700000 | PA      | $1256168.22   | 1.61%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-42.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $197.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDCO SARL                           | GREENSAIF PIPELINES BIDC SR SECURED 144A 02/42 6.51       | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $328015.29    | 0.42%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                     | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   66400000 | PA      | $239449.49    | 0.31%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $514.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                               | BUONI POLIENNALI DEL TES SR UNSECURED REGS 08/27 2.1      | CUSIP: ACI2Y9764<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    1400000 | PA      | $1643141.12   | 2.11%             | 2027-08-26      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -500000 | PA      | $-460722.66   | -0.59%            | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA GOVERNMENT BONDS 04/37 4.762                     | CUSIP: ACI0TJ8B0<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     200000 | PA      | $54124.69     | 0.07%             | 2037-04-07      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1900000 | PA      | $-1759578.13  | -2.26%            | 2040-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 02/49 3                                   | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     250000 | PA      | $184228.52    | 0.24%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                     | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   85000000 | PA      | $326971.08    | 0.42%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12M3         | CUSIP: 161630CA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22568 | PA      | $21866.80     | 0.03%             | 2037-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $0.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CZK SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $161.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-335.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                     | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   27000000 | PA      | $125483.47    | 0.16%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                     | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  100000000 | PA      | $473193.31    | 0.61%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-197.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HM EQUITY LN TR 2001-NC1                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2001 NC1 M3          | CUSIP: 64352VCA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214857 | PA      | $198696.72    | 0.26%             | 2031-06-20      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CZK BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-497.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1              | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.30         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $162.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-609.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-25221.30    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-104.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 06/49 3                  | CUSIP: ACI2MHL63<br>LEI: 969500KCGF3SUYJHPV70 | Short            | DBT              | NUSS              | FR        |    -500000 | PA      | $-476590.60   | -0.61%            | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $365.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $932.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                       | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A          | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     708320 | PA      | $622075.03    | 0.80%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD INR BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-22.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75               | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1800000 | PA      | $2121050.30   | 2.72%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT-BACKED ASSET SERVICING 2007-CB3                   | CREDIT BASED ASSET SERVICING A CBASS 2007 CB3 A3          | CUSIP: 17311YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200091 | PA      | $73060.45     | 0.09%             | 2037-03-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2.07        | -0.00%            |  |  |  | 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        |      58587 | PA      | $56655.85     | 0.07%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                   | REALKREDIT DANMARK COVERED REGS 10/50 1                   | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 08/48 3                                   | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     325000 | PA      | $240728.51    | 0.31%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-2 LTD                       | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2020 2A ARR 144A       | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $300150.59    | 0.39%             | 2034-07-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.02000 05/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $231.58       | 0.00%             |  |  |  | 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        |     250000 | PA      | $156855.47    | 0.20%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5                | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $184.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3607.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | SOUTH AFRICA TREASURY BILL 7.93  13.05.2026               | CUSIP: ACI2X3D53<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1400000 | PA      | $82689.29     | 0.11%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-10545.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC             | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 10/31 4.375    | CUSIP: 00402D2C8<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     300000 | PA      | $298898.16    | 0.38%             | 2031-10-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $338.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $668.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -66000 | NC      | $-21.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT COP SOLD USD 20260102                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-64.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7278.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20260212                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $237.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $42.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RNL7 PIMCO FXVAN PUT EUR CZK 24.10000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     195000 | NC      | $769.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RFD4 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      84000 | NC      | $421.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     223000 | NC      | $124.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                      | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   10000000 | PA      | $61767.11     | 0.08%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3   | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     270000 | PA      | $315101.91    | 0.40%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-139.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $494.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $82.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                          | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC             | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103677.57    | 0.13%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $310.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                       | CREDIT AGRICOLE SA 144A 01/36 VAR                         | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $263855.54    | 0.34%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR              | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202261.23    | 0.26%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-359.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1809.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | BARCLAYS PLC SR UNSECURED 05/29 VAR                       | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $406762.74    | 0.52%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                         | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2             | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99411.66     | 0.13%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-262.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.70000 02/20/24-25Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7802.17      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                          | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA         | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   13500000 | PA      | $151644.70    | 0.19%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BTP FUTURE   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         37 | NC      | $-11178.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1          | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4316 | PA      | $3424.55      | 0.00%             | 2037-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $13035.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                              | REPUBLIC OF POLAND SR UNSECURED 09/34 5.125               | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     200000 | PA      | $205313.04    | 0.26%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $534.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-10700.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1 | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A      | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     121183 | PA      | $121913.46    | 0.16%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $52.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 12/28 2.375                     | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  326550000 | PA      | $222905.43    | 0.29%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                              | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      27113 | PA      | $264112.36    | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD CZK BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-169.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1234.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1         | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13614 | PA      | $11681.66     | 0.01%             | 2036-09-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RZK6 PIMCO FXVAN PUT USD KRW 1382.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -228500 | NC      | $-344.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-246.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 12/50 0.7                     | CUSIP: BL6JRNII8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   13000000 | PA      | $46438.65     | 0.06%             | 2050-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-157.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A        | CUSIP: 126395AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $199526.94    | 0.26%             | 2037-10-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $587.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $422.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260113                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $623.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                        | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9             | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |     100000 | PA      | $65118.01     | 0.08%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $659.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | STATE OF ISRAEL SR UNSECURED REGS 05/60 3.8               | CUSIP: ACI1M29S4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $135477.17    | 0.17%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $38.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $186.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-2359.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $1448.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1382.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3099.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.50000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-9496.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                  | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                      | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     500000 | PA      | $500560.09    | 0.64%             | 2033-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1331.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 7.775  2 | CUSIP: ACI2YZPV1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2530000 | PA      | $147604.47    | 0.19%             | 2026-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 02/34 4                                   | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $99710.94     | 0.13%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.50000 09/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23073.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75               | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     850000 | PA      | $1007760.43   | 1.29%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $26.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260306                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $191.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 07/35 VAR            | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205561.87    | 0.26%             | 2035-07-23      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 11/29 2.5           | CUSIP: ACI2Q20Z1<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   12780000 | PA      | $425307.69    | 0.55%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $662.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $146.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RZR1 PIMCO FXVAN PUT USD KRW 1383.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -144000 | NC      | $-233.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1199.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260320                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1286.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRSP 2021-FL1 LTD                                        | BRIGHTSPIRE CAPITAL, INC BRSP 2021 FL1 A 144A             | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     145996 | PA      | $146094.88    | 0.19%             | 2038-08-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $85.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $340.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-OAT FUTURE   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -30 | NC      | $16524.84     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NATWEST GROUP PLC                                        | NATWEST GROUP PLC SR UNSECURED 03/35 VAR                  | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $317382.28    | 0.41%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                   | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A7          | CUSIP: 466286AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3313 | PA      | $3350.84      | 0.00%             | 2036-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RMC8 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |      82000 | NC      | $494.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H23        | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H23 PT            | CUSIP: 38376RC53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65779 | PA      | $67242.92     | 0.09%             | 2066-09-20      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                   | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3            | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363086 | PA      | $109567.88    | 0.14%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-5                      | BANC OF AMERICA FUNDING CORPOR BAFC 2007 5 2A3            | CUSIP: 059523AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46133 | PA      | $39893.70     | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED 144A 03/30 5.25                      | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $122984.68    | 0.16%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $727.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-384.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1861.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                       | FORESEA HLDG S A COMMON STOCK                             | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        267 | NS      | $6024.19      | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | SOUTH AFRICA TREASURY BILL SA TREASURY BILL 0 08/26       | CUSIP: ACI34G249<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4400000 | PA      | $256123.46    | 0.33%             | 2026-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $9829.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-104.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                     | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75     | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     535000 | PA      | $276803.55    | 0.36%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75     | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     100000 | PA      | $115644.38    | 0.15%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-13339.09    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                           | AUSTRALIAN GOVERNMENT BONDS 05/30 2.5                     | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     100000 | PA      | $62135.63     | 0.08%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/50 1                  | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.79         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.50000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-6197.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 02/33 3.5                                 | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $97197.27     | 0.12%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | REPUBLIC OF PERU SR UNSECURED 02/35 5.375                 | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $102400.00    | 0.13%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 11/49 2.375                               | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     525000 | PA      | $337353.51    | 0.43%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-9.00        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CAN 10YR BOND FUT MAR26 XMOD 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         16 | NC      | $-12845.58    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | CCS USD R US SOFR/GBP SONIA-30.05 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $-1682.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CZK SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $531.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $278.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $770.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260323                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $373.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-376.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                       | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75       | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $116794.78    | 0.15%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -127000 | NC      | $-42.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | STATE OF ISRAEL SR UNSECURED 03/29 5.375                  | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $206117.47    | 0.26%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 10/50 0.625                | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     400000 | PA      | $199313.35    | 0.26%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750S493 PIMCO FXVAN PUT EUR HUF 378.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |     100000 | NC      | $298.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                    | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4300000 | PA      | $265556.16    | 0.34%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-6177.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.32500 03/31/26-2Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3964.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260206                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1266.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MYR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-3749.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | LONG GILT FUTURE  MAR26 IFLL 20260327                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         27 | NC      | $22577.40     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                             | UBS GROUP AG SR UNSECURED 144A 02/35 VAR                  | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $210400.77    | 0.27%             | 2035-02-08      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A       | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      83796 | PA      | $83872.92     | 0.11%             | 2038-04-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | MORGAN STANLEY SR UNSECURED 10/30 VAR                     | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     300000 | PA      | $303695.82    | 0.39%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $214.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20261221                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1304.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-330.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST 2020-MF1     | ARBOR MULTIFAMILY MORTGAGE SEC AMMST 2020 MF1 A5 144A     | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $188119.68    | 0.24%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $151.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                         | NEW ZEALAND GOVERNMENT UNSECURED 05/31 1.5                | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     100000 | PA      | $50960.21     | 0.07%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                           | TITULOS DE TESORERIA BONDS 01/35 11.75                    | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  862700000 | PA      | $212711.88    | 0.27%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                     | ARBOUR CLO ARBR 6A AR 144A                                | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $353234.16    | 0.45%             | 2037-11-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $332.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 2A3           | CUSIP: 762009BA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16523 | PA      | $12929.15     | 0.02%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                      | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75               | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |     500000 | PA      | $579826.34    | 0.74%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $163250.37    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                               | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6            | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     300000 | PA      | $419646.65    | 0.54%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-156.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-203.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | MORGAN STANLEY REPO EUR ZCP                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |     255693 | PA      | $300490.41    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $0.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-92795.58    | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-156.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                           | TITULOS DE TESORERIA BONDS 02/33 13.25                    | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  791500000 | PA      | $212358.31    | 0.27%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260306                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $128.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $244.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                             | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   81000000 | PA      | $51317.25     | 0.07%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $22.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFICORP                                               | PACIFICORP 1ST MORTGAGE 02/31 5.3                         | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103007.95    | 0.13%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.45975 09/02/25-2Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-534.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                   | CHINA DEVELOPMENT BANK UNSECURED 01/34 2.63               | CUSIP: ACI2MPQS2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |    7290000 | PA      | $1092485.49   | 1.40%             | 2034-01-08      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $381.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                            | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                   | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     535529 | PA      | $128550.15    | 0.16%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                    | CAIRN CLO BV CRNCL 2018 10A AR 144A                       | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     123655 | PA      | $145426.86    | 0.19%             | 2031-10-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD SGD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-8947.38     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                  | FREDDIE MAC FHR 5517 FE                                   | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     397145 | PA      | $400563.31    | 0.51%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1504.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13201.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $147.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                              | BANK OF AMERICA CORP SR UNSECURED 04/34 VAR               | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102985.72    | 0.13%             | 2034-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-332.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $6508.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-636.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                       | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A      | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29704 | PA      | $24973.11     | 0.03%             | 2036-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-94.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $83.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.33         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND BONDS 09/54 2.19                    | CUSIP: BRT57JII1<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    4800000 | PA      | $662348.69    | 0.85%             | 2054-09-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $640.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT AUD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-476.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2754.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-623.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5               | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105760 | PA      | $110025.25    | 0.14%             | 2053-12-01      | Fixed         | 6.50%                 | 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        |      81327 | PA      | $78944.25     | 0.10%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-HE1                       | MASTR ASSET BACKED SECURITIES MABS 2007 HE1 A3            | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75170 | PA      | $73346.11     | 0.09%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                       | DRILLCO HLDG LUX SA COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        641 | NS      | $14462.56     | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                      | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/26 1.85      | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     300000 | PA      | $293619.21    | 0.38%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-113.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 06/30 1.375                     | CUSIP: ACI1LSN29<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  111630000 | PA      | $71531.39     | 0.09%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR FUT OPTN  FEB26C 113.5 EXP 01/23/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -3 | NC      | $-232.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9200000 | PA      | $9563528.89   | 12.27%            | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US ULTRA BOND CBT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -13 | NC      | $30957.57     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                   | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG         | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     300000 | PA      | $88500.00     | 0.11%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-65.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A        | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      21118 | PA      | $21182.42     | 0.03%             | 2053-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                       | DRILLCO HLDG LUX S A COMMON STOCK                         | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       5769 | NS      | $130163.06    | 0.17%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                      | OIS INR MIBOR/5.75000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $1151.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RZQ3 PIMCO FXVAN PUT USD KRW 1419.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     144000 | NC      | $833.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                       | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5              | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      47388 | PA      | $46781.49     | 0.06%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ALBA PLC/LONDON 2005-1                                   | ALBA PLC ALBA 2005 1 A3 REGS                              | CUSIP: B0Q41VII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      50106 | PA      | $67309.91     | 0.09%             | 2042-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/1.00000 12/15/21-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2434.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                  | GA GLOBAL FUNDING TRUST SECURED 144A 01/30 5.4            | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205203.96    | 0.26%             | 2030-01-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                  | FREDDIE MAC FHR 5513 MF                                   | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     405534 | PA      | $407268.92    | 0.52%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $248.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | AUST 10Y BOND FUT MAR26 XSFE 20260316                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        -62 | NC      | $-8324.17     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/2.25000 09/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $14728.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.50000 06/18/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-2684.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-275.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-224.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $991.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                           | TITULOS DE TESORERIA BONDS 08/29 11                       | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  906800000 | PA      | $226948.45    | 0.29%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                              | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1              | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     100000 | PA      | $109771.91    | 0.14%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $984.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI             | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75     | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     200000 | PA      | $201099.68    | 0.26%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.06500 06/26/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2555.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $668.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $23.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-21.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $76.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                      | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1             | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41271 | PA      | $35156.23     | 0.05%             | 2047-04-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                           | TITULOS DE TESORERIA BONDS 11/40 12.75                    | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  914300000 | PA      | $237381.29    | 0.30%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-5.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-55452.50    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $392.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 6.5 JUMBOS                              | CUSIP: 21H062628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2400000 | PA      | $2478468.77   | 3.18%             | 2055-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-131.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT A/S COVERED REGS 10/52 1.5            | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        822 | PA      | $101.42       | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1234.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $411.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                      | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52          | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     300000 | PA      | $309116.46    | 0.40%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                         | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3 144A            | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222957 | PA      | $187559.55    | 0.24%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 07/51 1.25                 | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     500000 | PA      | $299440.47    | 0.38%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 07/53 1.5                  | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     100000 | PA      | $62060.99     | 0.08%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.96415 02/12/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3455.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75                 | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1100000 | PA      | $64094.26     | 0.08%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RXO0 PIMCO FXVAN CALL USD SGD 1.31500000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     148000 | NC      | $503.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD INR BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $235.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -223000 | NC      | $-73.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                              | EUROSAIL PLC ESAIL 2007 4X A3 REGS                        | CUSIP: BTGD2JII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      91110 | PA      | $122807.07    | 0.16%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $284410.18    | 0.37%             | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX ITRAXX XOV44 5Y 35-100% SP CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $23568.66     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA UNSECURED 144A 04/33 2                            | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      50000 | PA      | $47821.83     | 0.06%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KZT SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $440.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $36.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-33619.10    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $315.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-46.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75     | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $202827.04    | 0.26%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-392.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LIMITED                       | SUMITOMO MITSUI TR BK LT SR UNSECURED 144A 09/30 4.35     | CUSIP: 86563VCF4<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $201078.15    | 0.26%             | 2030-09-11      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $926.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL FM3972 FN 07/50 FIXED VAR                       | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55186 | PA      | $51691.20     | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.50000 03/18/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2894.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3619.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CNY R 1.50000 03/18/26-5Y BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-5845.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-862.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-13641.78    | -0.02%            |  |  |  | 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      | $4605.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-971.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1655.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $639.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.97500 03/21/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1542.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $257.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $769.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3065.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-SCHATZ FUT   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -60 | NC      | $10338.70     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | 31750RXP7 PIMCO FXVAN PUT USD SGD 1.23650000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -148000 | NC      | $-1241.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H19        | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H19 FA            | CUSIP: 38376RZN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76598 | PA      | $76858.69     | 0.10%             | 2066-09-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US 5YR NOTE (CBT) MAR26 XCBT 20260331                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         74 | NC      | $-7894.25     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 08/45 4.875                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      38000 | PA      | $38380.00     | 0.05%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS USD R USSOFR/JPYMUTKCALM-31.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $109.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                    | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A          | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     300000 | PA      | $352860.73    | 0.45%             | 2036-08-29      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $343.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5758.51      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                         | KOREA TREASURY BOND BONDS 06/28 2.625                     | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1130790000 | PA      | $779696.01    | 1.00%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                 | PETRONAS CAPITAL LTD COMPANY GUAR 144A 01/32 2.48         | CUSIP: 71675CAB4<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     500000 | PA      | $449104.85    | 0.58%             | 2032-01-28      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25                 | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     700000 | PA      | $36141.73     | 0.05%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $289.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-42837.33    | -0.05%            |  |  |  | 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      | $-530.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                            | BOEING CO/THE SR UNSECURED 05/31 6.388                    | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $108567.01    | 0.14%             | 2031-05-01      | Fixed         | 6.39%                 | 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      | $3015.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $10461855.39  | 13.43%            | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 06/32 3.775         | CUSIP: B75489II5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    1550000 | PA      | $56494.68     | 0.07%             | 2032-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.0000 01/13/25-8Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-106.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                     | ROYAL BANK OF CANADA SR UNSECURED 08/29 VAR               | CUSIP: 78017DAK4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $202032.33    | 0.26%             | 2029-08-06      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CZK 4.52250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $477.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA GOVERNMENT BONDS 04/28 3.519                     | CUSIP: ACI2FJPF3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    2831000 | PA      | $706159.39    | 0.91%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR NOTE (CBT)MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         25 | NC      | $-9017.10     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $380.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS GROUP AG SR UNSECURED 144A 01/28 4.282                | CUSIP: 225401AC2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $250415.78    | 0.32%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.55800 08/21/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3990.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $681.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 0.45100 05/27/25-25Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-85068.38    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260305                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -34000 | NC      | $-11.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375    | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     300000 | PA      | $314793.40    | 0.40%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3226.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                              | CANADIAN GOVERNMENT BONDS 06/34 3                         | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1300000 | PA      | $925769.61    | 1.19%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7887.21      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-289.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2173.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1607.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750S550 PIMCO FXVAN PUT EUR HUF 376.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     124000 | NC      | $262.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KZT BOUGHT USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-30.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -200000 | PA      | $-176789.06   | -0.23%            | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 01/33 1.125                               | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     601200 | PA      | $577061.76    | 0.74%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6                 | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312106 | PA      | $321310.77    | 0.41%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-18438.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                              | REPUBLIC OF POLAND SR UNSECURED 03/29 4.625               | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     200000 | PA      | $204381.64    | 0.26%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-71.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-130.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                     | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     740000 | PA      | $782482.39    | 1.00%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-6141.87     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2147.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-902.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $685.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6         | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     900000 | PA      | $288730.48    | 0.37%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35382.71     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $13.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-208720.23   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4764756 | PA      | $-4772558.54  | -6.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                               | CHINA GOVERNMENT BOND BONDS 05/35 1.65                    | CUSIP: BT6F11II5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    1700000 | PA      | $239050.68    | 0.31%             | 2035-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-659.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                       | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26922 | PA      | $25448.63     | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2587.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1778.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/4.08000 06/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10810.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP            | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/41 FIXED 5.169    | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     100000 | PA      | $102084.81    | 0.13%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-664.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.0500 12/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-76049.53    | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD INR BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-26.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750S451 PIMCO FXVAN PUT EUR CZK 23.90000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     140000 | NC      | $443.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 12/18/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21805.36     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $28402.26     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RZO8 PIMCO FXVAN PUT USD KRW 1380.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -228500 | NC      | $-320.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-143.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF10                        | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF10 M1           | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3880 | PA      | $3872.55      | 0.00%             | 2034-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | CCS USD R USSOFR/JPYMUTKCALM-35.65 CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $54707.35     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $261.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TRY SOLD USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $316.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $22.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL DA1139 FN 10/53 FIXED 6.5                       | CUSIP: 3140A1HR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147830 | PA      | $154396.86    | 0.20%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                     | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 09/35 4.75     | CUSIP: ACI2MHTY4<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     500000 | PA      | $320528.22    | 0.41%             | 2035-09-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                     | JYSKE REALKREDIT A/S COVERED REGS 10/50 1                 | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          4 | PA      | $0.53         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.96000 06/27/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6562.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                   | STANDARD CHARTERED PLC SR UNSECURED 144A 01/28 VAR        | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $196935.23    | 0.25%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1.5            | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                             | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   81000000 | PA      | $51289.48     | 0.07%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL CA6106 FN 06/50 FIXED 4                         | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46497 | PA      | $44620.82     | 0.06%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-321.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |      66000 | NC      | $36.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $340.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $800.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1709.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1            | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A     | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73005 | PA      | $61152.16     | 0.08%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 0.06350 11/17/22-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $69042.60     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED REGS 10/45 6.5                       | CUSIP: ACI30VFV6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      90000 | PA      | $105313.20    | 0.14%             | 2045-10-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                           | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75        | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      50000 | PA      | $17070.48     | 0.02%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-330.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II POOL MA8486 G2 12/52 FIXED 3                      | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     333018 | PA      | $300113.79    | 0.39%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                      | INTESA SANPAOLO SPA 144A 11/33 7.2                        | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $228519.36    | 0.29%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260310                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $188.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-1                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 1 MV7             | CUSIP: 126673XD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     573287 | PA      | $572002.50    | 0.73%             | 2035-07-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $174.64       | 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        |     430000 | PA      | $340338.28    | 0.44%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $888.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.8468* 12/02/24-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1723.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA DEVELOPMENT BANK                                   | CHINA DEVELOPMENT BANK UNSECURED 05/33 2.82               | CUSIP: ACI2G7SL2<br>LEI: 300300C1020111000029 | Long             | DBT              | CORP              | CN        |    7810000 | PA      | $1184159.68   | 1.52%             | 2033-05-22      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 1.75000 03/16/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-11261.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                          | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/36 5   | CUSIP: ACI2KMVF3<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     300000 | PA      | $197179.91    | 0.25%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3068.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.92500 06/19/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $2126.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-4993.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-395.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-243.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                           | BULGARIA SR UNSECURED REGS 07/35 3.375                    | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     100000 | PA      | $115544.49    | 0.15%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED 144A 09/26 5                         | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     220000 | PA      | $263453.75    | 0.34%             | 2026-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                     | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         10 | PA      | $1.06         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD DKK BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-1721.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.50000 12/18/24-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $17218.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 08/44 4.125                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     750000 | PA      | $688564.46    | 0.88%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL MA5217 FN 12/53 FIXED 6.5                       | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     499567 | PA      | $519307.37    | 0.67%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                       | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6                 | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    1100000 | PA      | $801101.40    | 1.03%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                              | REPUBLIC OF POLAND BONDS 02/30 4.875                      | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     100000 | PA      | $103115.46    | 0.13%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260102                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $538.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC             | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/29 5.375    | CUSIP: 00402D2A2<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     200000 | PA      | $207467.58    | 0.27%             | 2029-05-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -142000 | NC      | $-47.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4800000 | PA      | $4926229.34   | 6.32%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                           | COMMONWEALTH BANK AUST COVERED 144A 01/30 4.971           | CUSIP: 202712BW4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     800000 | PA      | $831554.20    | 1.07%             | 2030-01-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $2108.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $81.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-921.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1427.65      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                      | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/32 5.454         | CUSIP: 86562MDT4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $418817.14    | 0.54%             | 2032-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-327.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS USD SOFR/1.00000 12/15/21-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24342.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4572.30     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2021-2A         | AVIS BUDGET RENTAL CAR FUNDING AESOP 2021 2A A 144A       | CUSIP: 05377RER1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $293334.03    | 0.38%             | 2028-02-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-33.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                  | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A4           | CUSIP: 251510MM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35013 | PA      | $32147.46     | 0.04%             | 2036-02-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3105.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1786.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 08/35 4.25                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     100000 | PA      | $100734.38    | 0.13%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                  | FREDDIE MAC FHR 5511 FB                                   | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     357018 | PA      | $360314.94    | 0.46%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $464.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2338.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-40.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                         | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2               | CUSIP: BK80V9II5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |     200000 | PA      | $99409.80     | 0.13%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $195087.81    | 0.25%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 2A1           | CUSIP: 61748HLA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40284 | PA      | $9566.98      | 0.01%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $27.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | JPN 10Y BOND(OSE) MAR26 XOSE 20260313                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -11 | NC      | $62724.05     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ARGENTINA GOVT                                           | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                     | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      24000 | PA      | $17528.69     | 0.02%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                 | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A          | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221952 | PA      | $185916.42    | 0.24%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $670.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BUND FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -10 | NC      | $20731.00     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $915.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $582.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $6.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1099.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                     | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2             | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     200000 | PA      | $109767.07    | 0.14%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-86.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.25000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $106443.25    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-177415.31   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.5000 03/22/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-5441.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                              | NATIONWIDE BLDG SOCIETY 144A 02/28 VAR                    | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $296506.64    | 0.38%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-193.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1917.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $43.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-0.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625        | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $237088.64    | 0.30%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/1.5000 06/17/20-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-38332.47    | -0.05%            |  |  |  | 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      | $1989.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-9            | STRUCTURED ASSET INVESTMENT LO SAIL 2004 9 M3             | CUSIP: 86358EMV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232325 | PA      | $232990.22    | 0.30%             | 2034-10-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.2500 03/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-5997.82     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                     | JPMORGAN CHASE + CO SR UNSECURED 04/32 VAR                | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91441.69     | 0.12%             | 2032-04-22      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -400000 | PA      | $-359015.63   | -0.46%            | 2056-02-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.25000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-23429.19    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-8                            | GSAA HOME EQUITY TRUST GSAA 2007 8 A3                     | CUSIP: 38144RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1154 | PA      | $1146.73      | 0.00%             | 2037-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | REVERSE REPO JPM CHASE                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -988750 | PA      | $-989080.41   | -1.27%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 12/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-333.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $99.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CZK BOUGHT USD 20260212                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-625.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $19.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-475.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS NZD 2.50000 03/12/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $8772.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2791.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                            | THAILAND GOVERNMENT BOND SR UNSECURED 03/35 2.41          | CUSIP: ACI2TGV26<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |    2400000 | PA      | $81459.07     | 0.10%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2575.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-346.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL 849407 FH 09/37 FLOATING VAR            | CUSIP: 31300MNY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72075 | PA      | $75324.37     | 0.10%             | 2037-09-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EGP BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $-6.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-71.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $2127558.76   | 2.73%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                     | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    1750000 | PA      | $8788.21      | 0.01%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A18          | CUSIP: 61751MAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7703 | PA      | $7194.71      | 0.01%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-13439.60    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | MORGAN STANLEY 03/35 1                                    | CUSIP: ACI2NCY69<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     100000 | PA      | $119304.08    | 0.15%             | 2035-03-21      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.00000 03/19/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $87814.55     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                              | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR               | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     300000 | PA      | $309770.07    | 0.40%             | 2031-01-24      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J4                           | COUNTRYWIDE HOME LOANS CWHL 2006 J4 A5                    | CUSIP: 12669YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33723 | PA      | $11843.11     | 0.02%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $279.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $548.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.85961 12/02/24-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2887.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                       | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5              | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      65935 | PA      | $65091.11     | 0.08%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                              | FRANCE (GOVT OF) BONDS 144A REGS 02/28 0.75               | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     950000 | PA      | $1080334.32   | 1.39%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.25000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-7565.74     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1946250 | PA      | $-1949436.98  | -2.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-312070.35   | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                         | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25       | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1000000 | PA      | $546119.23    | 0.70%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-6387.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A        | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      42237 | PA      | $40394.19     | 0.05%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                     | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   45000000 | PA      | $265955.06    | 0.34%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-92.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                           | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                     | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      28000 | PA      | $18218.67     | 0.02%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876           | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     600000 | PA      | $621278.67    | 0.80%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                          | SANDS CHINA LTD SR UNSECURED 08/28 5.65                   | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $203942.60    | 0.26%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-183.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $2049.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS CNY R 1.50000 03/18/26-5Y SCX                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-7562.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                         | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A            | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     399439 | PA      | $400972.22    | 0.51%             | 2064-10-27      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-369.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-286.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $531.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20261221                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-954.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $260.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                      | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/34 FIXED 2.746   | CUSIP: 38122NB50<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     135000 | PA      | $120126.62    | 0.15%             | 2034-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                          | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A              | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353563 | PA      | $356835.43    | 0.46%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                  | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         14 | PA      | $1.78         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $203.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.1800 11/25/24-9Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-7930.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                 | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                  | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     450000 | PA      | $450803.85    | 0.58%             | 2034-10-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-136.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                     | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  135155440 | PA      | $877940.88    | 1.13%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $188.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RLA3 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     217599 | NC      | $1263.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $2469.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX ITRAXX XOV44 5Y 35-100% SP BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $23568.66     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | US TREASURY N/B 02/48 3                                   | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $223335.94    | 0.29%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                     | JPMORGAN CHASE + CO SR UNSECURED 01/36 VAR                | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     200000 | PA      | $209148.93    | 0.27%             | 2036-01-24      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1044.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                     | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $776285.16    | 1.00%             | 2056-02-19      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 03/30 4.375                | CUSIP: BSQNRDII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1800000 | PA      | $2468358.88   | 3.17%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                  | BANK OF NOVA SCOTIA COVERED REGS 09/29 0.01               | CUSIP: ACI20BTZ8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $213391.66    | 0.27%             | 2029-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2268.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                  | FREDDIE MAC FHR 4579 SD                                   | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35624 | PA      | $1808.00      | 0.00%             | 2038-01-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $17893.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL BF0334 FN 01/59 FIXED 3.5                       | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71106 | PA      | $64920.27     | 0.08%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $49.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                  | FREDDIE MAC FHR 4579 FD                                   | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35624 | PA      | $35162.59     | 0.05%             | 2038-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5557.46      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-244.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                        | HSBC HOLDINGS PLC SR UNSECURED REGS 05/33 VAR             | CUSIP: ACI2G3031<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $504246.57    | 0.65%             | 2033-05-23      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   17600000 | PA      | $1109140.10   | 1.42%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5035.88     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                     | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2             | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229356 | PA      | $210023.09    | 0.27%             | 2036-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $726.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT ZAR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $632.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KZT BOUGHT USD 20260305                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-1.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                        | REPUBLIC OF SOUTH AFRICA NOTES 12/26 10.5                 | CUSIP: ACI34X960<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1000000 | PA      | $62268.72     | 0.08%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-319.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $0.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RZJ9 PIMCO FXVAN PUT USD KRW 1419.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     228500 | NC      | $1288.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     127000 | NC      | $70.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOUR CLO DAC 11A                                       | ARBOUR CLO ARBR 11A AR                                    | CUSIP: ACI2P5HV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     450000 | PA      | $529944.27    | 0.68%             | 2038-05-15      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                   | REALKREDIT DANMARK COVERED REGS 10/53 1                   | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.12         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A       | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67624 | PA      | $56729.41     | 0.07%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-125.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375    | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $236344.47    | 0.30%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $675.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $726.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $213.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-45014.47    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.25000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-14184.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.50000 03/19/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $18092.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 09/17/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $46393.53     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5755.46     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | 31750RZN0 PIMCO FXVAN PUT USD KRW 1417.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     228500 | NC      | $1203.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4           | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     450000 | PA      | $530532.28    | 0.68%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                             | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  178760000 | PA      | $112157.40    | 0.14%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED 144A 05/37 5.625                     | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $114524.41    | 0.15%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                             | ROMANIA SR UNSECURED 144A 03/28 2.125                     | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $115602.07    | 0.15%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | MORGAN STANLEY SR UNSECURED 01/36 VAR                     | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $209073.41    | 0.27%             | 2036-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $27.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-5                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 5 1A4            | CUSIP: 17307GXW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254502 | PA      | $235552.29    | 0.30%             | 2035-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | CDX IG45 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $109238.61    | 0.14%             |  |  |  | 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        |    2300000 | PA      | $2170085.93   | 2.79%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A        | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     145142 | PA      | $146617.08    | 0.19%             | 2055-02-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD HKD BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $82.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260706                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-26.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                      | UNITED KINGDOM GILT BONDS REGS 01/49 1.75                 | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     100000 | PA      | $73294.81     | 0.09%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | US 10YR ULTRA FUT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         58 | NC      | $-36446.32    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT MXN SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $12543.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                    | ATHENE GLOBAL FUNDING SECURED 144A 03/27 VAR              | CUSIP: 04685A3U3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201286.75    | 0.26%             | 2027-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EUR SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $52.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9688.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                            | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS              | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     112608 | PA      | $149232.34    | 0.19%             | 2044-06-12      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $189.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS PLN 4.72250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $-257.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | MORGAN STANLEY SR UNSECURED 05/29 VAR                     | CUSIP: ACI34TWG1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     200000 | PA      | $235410.23    | 0.30%             | 2029-05-04      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/2.88000 12/04/24-9Y* LC                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $526.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-6571.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-14137.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                               | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/35 3   | CUSIP: ACI2XHL53<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     200000 | PA      | $233425.27    | 0.30%             | 2035-10-31      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                             | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                  | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $247703.95    | 0.32%             | 2031-04-01      | Floating      | 4.19%                 | 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      | $-437.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                       | FANNIE MAE FNR 2006 48 TF                                 | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2096 | PA      | $2080.44      | 0.00%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                  | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3           | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180834 | PA      | $123844.65    | 0.16%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $2922.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/0.75000 03/19/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-134.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3251.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-412.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                            | MALAYSIA GOVERNMENT BONDS 04/31 2.632                     | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     400000 | PA      | $95499.26     | 0.12%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-6562.68     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD MXN BOUGHT USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-52.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR USD SOFR/3.75000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15520.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CHF SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $484.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                             | BRISTOL MYERS SQUIBB CO SR UNSECURED 02/31 5.1            | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104163.50    | 0.13%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-95.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $3138.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBSORA/1.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $50199.11     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                     | ROYAL BANK OF CANADA COVERED 144A 12/26 4.851             | CUSIP: 780082AQ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $202057.19    | 0.26%             | 2026-12-14      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.21300 03/12/40-15Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $199446.08    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $150.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $592.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A         | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24331 | PA      | $21782.76     | 0.03%             | 2037-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS EUR 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-90683.41    | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS SGD SIBSORA/1.25000 03/18/26-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $5061.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5               | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     316973 | PA      | $269269.25    | 0.35%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11168.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                     | FNMA POOL CA4346 FN 10/49 FIXED 3                         | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122445 | PA      | $108639.38    | 0.14%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $164.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST            | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3       | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      64160 | PA      | $61423.61     | 0.08%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-211.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                  | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A        | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $299775.78    | 0.38%             | 2038-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-543.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7010.85     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                              | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |     200000 | PA      | $200231.14    | 0.26%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260312                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $204.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $34.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                            | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A      | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      86727 | PA      | $86838.32     | 0.11%             | 2037-01-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268               | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |     200000 | PA      | $206165.00    | 0.26%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | RFR JPY MUTK/1.50000 09/18/24-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $67625.90     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                          | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR           | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $209019.94    | 0.27%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT BRL SOLD USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1448.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1303.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-3177.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-892.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                          | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1   | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |     100000 | PA      | $50858.75     | 0.07%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $127.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-388.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                               | JAPAN (2 YEAR ISSUE) BONDS 01/26 0.1                      | CUSIP: ACI2M7VN7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  130000000 | PA      | $829911.90    | 1.07%             | 2026-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/3.2500 12/18/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-1803.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                              | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                   | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     142993 | PA      | $99046.75     | 0.13%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1069.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV1 A3A 144A    | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     444367 | PA      | $372776.03    | 0.48%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 4A1           | CUSIP: 61749CAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58308 | PA      | $30991.05     | 0.04%             | 2036-05-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2593.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT EGP SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $453.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/31 VAR             | CUSIP: 606822DN1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     200000 | PA      | $201162.96    | 0.26%             | 2031-09-12      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                  | HARVEST CLO HARVT 21A A1R 144A                            | CUSIP: ACI1WSV44<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     125858 | PA      | $148015.06    | 0.19%             | 2031-07-15      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $0.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                           | BULGARIA SR UNSECURED REGS 07/45 4.125                    | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |     100000 | PA      | $112980.20    | 0.14%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT RON SOLD USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $802.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD KRW BOUGHT USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-430.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                     | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     600000 | PA      | $507328.13    | 0.65%             | 2055-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | EURO-BOBL FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -24 | NC      | $25204.58     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7067.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $41792.13     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                            | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                 | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $390840.48    | 0.50%             | 2036-09-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4934.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7227.98     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT CNY SOLD USD 20260324                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $272.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD PEN BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1310.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $630.91       | 0.00%             |  |  |  | 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      | $-522.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $178.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS NZD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $12839.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                    | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D              | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416916 | PA      | $219048.19    | 0.28%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | IRS AUD 4.25000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-48241.72    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR            | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     500000 | PA      | $519226.22    | 0.67%             | 2036-01-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                         | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A             | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264234 | PA      | $255229.60    | 0.33%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO I LTD 2018-3A                            | 522 FUNDING CLO LTD MORGN 2018 3A AR 144A                 | CUSIP: 33835NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      52489 | PA      | $52514.61     | 0.07%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1041.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                    | FED HM LN PC POOL G08692 FG 02/46 FIXED 3                 | CUSIP: 3128MJXW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154243 | PA      | $140814.95    | 0.18%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                        | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/30 3.25     | CUSIP: ACI1LTCD5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $191291.58    | 0.25%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                 | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A            | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225523 | PA      | $197365.41    | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD COP BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-29.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                         | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A             | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64373 | PA      | $62309.67     | 0.08%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                       | TSY INFL IX N/B 01/28 0.5                                 | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1980030 | PA      | $1945590.41   | 2.50%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-67070.80    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                     | VOYA CLO LTD VOYA 2019 2A AR 144A                         | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     345854 | PA      | $346081.31    | 0.44%             | 2032-07-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1744.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                              | STATE OF ISRAEL SR UNSECURED 02/30 5.375                  | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $414227.59    | 0.53%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                         | PROJECT CASHMERE CLASS A1 144A                            | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    1200000 | PA      | $800820.04    | 1.03%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                      | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $2042.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                  | GOLDMAN SACHS GROUP INC SR UNSECURED 04/35 VAR            | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     200000 | PA      | $212706.91    | 0.27%             | 2035-04-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                      | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-1447.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer