# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004412
**Filing Date:** 2025-11
**Character Count:** 440143
**Document Hash:** 59dbe3f70e2d229baa264f4e0141aa1e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004412.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004412

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528216

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

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

## Series and Classes Contracts Data

### PIMCO Low Duration Fund (Series ID: S000009691)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026575 | Institutional  | PTLDX           |
| C000026576 | Administrative | PLDAX           |
| C000026577 | A              | PTLAX           |
| C000026579 | C              | PTLCX           |
| C000026581 | R              | PLDRX           |
| C000064143 | I-2            | PLDPX           |
| C000200445 | I-3            | PTLNX           |
| C000222833 | Class C-2      | PLCCX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Low Duration Fund

- **b. EDGAR series identifier (if any):** S000009691

- **c. LEI of Series:** MGFS63GRW2G1SZOESY83

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $10062681823.83

**Total Liabilities:** $4239869085.42

**Net Assets:** $5822812738.41

**Delayed Delivery Securities:** $46204430.40

**Cash Not Reported:** $17772036.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 417074.772200 | **1-Year:** 348829.320500 | **5-Year:** 396498.151900 | **10-Year:** 53695.485300 | **30-Year:** 1244.806100

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

- **3-Month:** 21984.675100 | **1-Year:** 7160.533200 | **5-Year:** 5266.599400 | **10-Year:** 356.921000 | **30-Year:** 8.084200

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026576 | -0.09%               | 1.00%                | 0.33%                |
| Class ID C000026577 | -0.10%               | 1.00%                | 0.32%                |
| Class ID C000026579 | -0.13%               | 0.97%                | 0.30%                |
| Class ID C000222833 | -0.14%               | 0.95%                | 0.28%                |
| Class ID C000064143 | -0.08%               | 1.01%                | 0.34%                |
| Class ID C000200445 | -0.09%               | 1.01%                | 0.34%                |
| Class ID C000026581 | -0.12%               | 0.97%                | 0.30%                |
| Class ID C000026575 | -0.07%               | 1.02%                | 0.35%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3561505.64              | $-15681375.46                              |
| Month 2  | $13168460.88             | $20268269.55                               |
| Month 3  | $4909105.11              | $4003948.37                                |

**Designated Index Information**

- **Index Name:** 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index

- **Index Identifier:** G1O2, LUICTRUU

### 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                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-243.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3667.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXM0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1396210.62    | 0.02%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXL2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4687901.26    | 0.08%             | 2025-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5442                                           | FREDDIE MAC FHR 5442 FB                                 | CUSIP: 3137HF4U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8256754 | PA      | $8295693.35    | 0.14%             | 2054-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX              | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A    | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3940748.21    | 0.07%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC SR UNSECURED 04/28 4.125         | CUSIP: 718172DR7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15031209.15   | 0.26%             | 2028-04-28      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A    | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44707 | PA      | $43995.33      | 0.00%             | 2035-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF          | CUSIP: 38382YC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85797437 | PA      | $87388499.37   | 1.50%             | 2072-11-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB6395 FN 02/53 FIXED 5                       | CUSIP: 3140QSC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1380651 | PA      | $1376477.84    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5443 FN 08/54 FIXED 5                       | CUSIP: 31418FBM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     880621 | PA      | $874264.85     | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1           | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42639 | PA      | $39969.00      | 0.00%             | 2035-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0541 FN 10/47 FIXED 3.5                     | CUSIP: 3140Q7S73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   37499926 | PA      | $34631774.51   | 0.59%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 910434 FN 01/37 FIXED 6                       | CUSIP: 31411KPT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2675 | PA      | $2787.33       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                              | VASA TRUST VASA 2021 VASA A 144A                        | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4898430.50    | 0.08%             | 2039-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8383 FR 12/53 FIXED 5.5             | CUSIP: 3132DWJ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26288870 | PA      | $26586581.45   | 0.46%             | 2053-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                             | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M2             | CUSIP: 61744CKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316632 | PA      | $312049.53     | 0.01%             | 2034-12-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13791.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 1 A 144A       | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      73804 | PA      | $74296.69      | 0.00%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABZA7 PIMCO SWAPTION 2.79 PUT EUR 20251006          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-352.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ              | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA          | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     167113 | PA      | $167494.36     | 0.00%             | 2066-10-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     700000 | PA      | $717648.79     | 0.01%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060679 FN 01/28 FLOATING VAR                  | CUSIP: 31362GM40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $609.91        | 0.00%             | 2028-01-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995199 FN 05/37 FIXED VAR                     | CUSIP: 31416BRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7747 | PA      | $8148.54       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3339.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1         | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2443638 | PA      | $2288738.39    | 0.04%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-3305.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2135                                                  | FREDDIE MAC FHR 2135 KZ                                 | CUSIP: 3133TJWR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74004 | PA      | $75118.63      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | 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      | $-66022.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABFA9 PIMCO SWAPTION 3.507 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-600.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                            | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A      | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8765976 | PA      | $8638076.11    | 0.15%             | 2036-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAI6A4 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1800000 | NC      | $1595.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-1567.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-31947.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1360.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL9 ISSUER LTD                                         | BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A                | CUSIP: 055984AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6253008 | PA      | $6268042.28    | 0.11%             | 2039-07-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $18039.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815195 FN 05/35 FLOATING VAR                  | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19615 | PA      | $19838.35      | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080031 G2 01/27 FLOATING VAR               | CUSIP: 36225CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27529 | PA      | $27471.47      | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                   | BEAR STEARNS ALT A TRUST BALTA 2004 9 6A1               | CUSIP: 07386HLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78441 | PA      | $77787.22      | 0.00%             | 2034-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008781 G2 01/26 FLOATING VAR               | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $121.34        | 0.00%             | 2026-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A        | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150728 | PA      | $140550.11     | 0.00%             | 2034-03-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154102 | PA      | $147447.16     | 0.00%             | 2036-02-20      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1        | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136810 | PA      | $130271.93     | 0.00%             | 2035-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/26 5.464       | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   12600000 | PA      | $12645795.46   | 0.22%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $641.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5300000 | NC      | $-1645.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP DISC COML PAPER 10/25 ZCP                | CUSIP: 00913WXE0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    8150000 | PA      | $8135510.93    | 0.14%             | 2025-10-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB8490 FN 07/54 FIXED 5                       | CUSIP: 3140AJNG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     488396 | PA      | $486959.21     | 0.01%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2400000 | PA      | $2416922.33    | 0.04%             | 2028-03-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD7814 FN 09/46 FIXED 4.5                     | CUSIP: 3140FFVG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253465 | PA      | $250610.39     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA CITIBANK NA                                 | CUSIP: 17325FBF4<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   14050000 | PA      | $14146970.43   | 0.24%             | 2026-04-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-222424.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7958 FN 08/46 FIXED 4.5                     | CUSIP: 3138WHZY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21490 | PA      | $21340.97      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929838 FN 08/38 FIXED 6                       | CUSIP: 31412NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2032 | PA      | $2134.99       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008943 G2 08/26 FLOATING VAR               | CUSIP: 36202K5C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $720.05        | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAM1A0 PIMCO SWAPTION 3.85 PUT USD 20251027          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3700000 | NC      | $-6286.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                                | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                 | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2425 | PA      | $2381.04       | 0.00%             | 2032-08-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G0198 FH 04/35 FLOATING VAR          | CUSIP: 3128NCGF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145803 | PA      | $148396.23     | 0.00%             | 2035-04-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $87572.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 670337 FN 09/32 FLOATING VAR                  | CUSIP: 31391LV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90366 | PA      | $92215.43      | 0.00%             | 2032-09-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     600000 | PA      | $610578.70     | 0.01%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1513.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $512.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                   | SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR         | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   13300000 | PA      | $13339853.58   | 0.23%             | 2026-11-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                              | LAS VEGAS SANDS CORP SR UNSECURED 06/28 5.625           | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    9300000 | PA      | $9509989.63    | 0.16%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                         | MARBLE POINT CLO MP22 2021 2A AR 144A                   | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3504649.47    | 0.06%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1       | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        973 | PA      | $873.01        | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                | FANNIE MAE FNR 2009 87 FX                               | CUSIP: 31398FM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23628 | PA      | $23711.01      | 0.00%             | 2039-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271JXF9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1098037.38    | 0.02%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RAAC 2004-SP1                                                     | RAAC SERIES RAAC 2004 SP1 AII                           | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41336 | PA      | $41200.67      | 0.00%             | 2034-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2784.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                       | ICG US CLO LTD ICG 2021 3A AR 144A                      | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3100000 | PA      | $3103647.15    | 0.05%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545998 FN 11/32 FIXED VAR                     | CUSIP: 31385JRT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2692 | PA      | $2785.07       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                       | SWEDBANK AB 144A 09/27 5.337                            | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   20000000 | PA      | $20490798.40   | 0.35%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A    | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     730503 | PA      | $856725.21     | 0.01%             | 2033-08-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2613.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI9163 FN 11/30 FIXED 4.5                     | CUSIP: 3138APFD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20579 | PA      | $20594.48      | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 788586 FN 07/34 FIXED 6.5                     | CUSIP: 31405GCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $99.61         | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080968 G2 07/34 FLOATING VAR               | CUSIP: 36225DCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5012 | PA      | $5092.88       | 0.00%             | 2034-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD9151 FN 08/40 FIXED 5                       | CUSIP: 31418XEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29514 | PA      | $30296.04      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | 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        |   17348530 | PA      | $17378182.31   | 0.30%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900652 FN 09/36 FIXED 6                       | CUSIP: 31410XTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        976 | PA      | $1017.16       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     100000 | PA      | $100000.00     | 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      | $9258.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080094 G2 07/27 FLOATING VAR               | CUSIP: 36225CC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1203 | PA      | $1201.21       | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20573.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/26 0.8                             | CUSIP: 3134GW6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   83100000 | PA      | $80567452.71   | 1.38%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF8565 FR 03/53 FIXED 5               | CUSIP: 3133BWQS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     821918 | PA      | $821750.91     | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS3421 FN 12/52 FIXED VAR                     | CUSIP: 3140XJYT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39885 | PA      | $39739.22      | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  801500000 | PA      | $140680502.82  | 2.42%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                         | BANQUE FED CRED MUTUEL BANQUE FED CRED MUTUEL           | CUSIP: 06675DCM2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    5150000 | PA      | $5264357.66    | 0.09%             | 2028-02-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-376.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $50304.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1672 | PA      | $1767.28       | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.52000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $14051.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-80                                         | FANNIE MAE FNR 2020 80 JF                               | CUSIP: 3136BCZK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     936059 | PA      | $890929.73     | 0.02%             | 2050-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $4545.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4400000 | NC      | $-14686.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890653 FN 01/32 FIXED VAR                     | CUSIP: 31410LQE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94160 | PA      | $94581.62      | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF0706 FR 09/52 FIXED 5               | CUSIP: 3133BMYB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     608284 | PA      | $607729.39     | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4439 FN 04/53 FIXED VAR                     | CUSIP: 3140XK4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1192335 | PA      | $1188887.55    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     978102 | PA      | $951953.01     | 0.02%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  450000000 | PA      | $450000000.00  | 7.73%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW7006 FN 06/44 FIXED 4.5                     | CUSIP: 3138XWYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38080 | PA      | $38004.29      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | 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      | $-124095.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 2A1                | CUSIP: 362341FH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471472 | PA      | $241265.61     | 0.00%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5300000 | NC      | $-20830.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                         | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2000000 | PA      | $2002200.00    | 0.03%             | 2035-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535428 FN 08/30 FIXED VAR                     | CUSIP: 31384VYZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $14.00         | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 1A2         | CUSIP: 07384MWX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19120 | PA      | $19204.55      | 0.00%             | 2033-08-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2304                                                  | FREDDIE MAC FHR 2304 PZ                                 | CUSIP: 3133TSMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54438 | PA      | $56612.43      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF7455 FR 02/53 FIXED 5               | CUSIP: 3133BVH81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     957035 | PA      | $952590.91     | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-571990.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8165 | PA      | $7909.47       | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB5405 FN 10/52 FIXED 4.5                     | CUSIP: 3140QRAF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4422852 | PA      | $4312311.34    | 0.07%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-639722.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  349000000 | PA      | $345924751.60  | 5.94%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY0234 FN 04/53 FIXED 5                       | CUSIP: 3140NGHL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1177278 | PA      | $1177167.49    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-4                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 4 M1            | CUSIP: 1266715K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113701 | PA      | $121210.94     | 0.00%             | 2034-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR          | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        512 | PA      | $512.52        | 0.00%             | 2027-07-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2461                                                  | FREDDIE MAC FHR 2461 Z                                  | CUSIP: 31392MK43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121423 | PA      | $127037.39     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 04/28 VAR          | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   11900000 | PA      | $12041949.75   | 0.21%             | 2028-04-23      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008927 G2 07/26 FLOATING VAR               | CUSIP: 36202K4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $217.26        | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                | FANNIE MAE FNR 2005 75 AF                               | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41825 | PA      | $41504.33      | 0.00%             | 2035-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF7609 FR 01/53 FIXED 5               | CUSIP: 3133BVN27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1060741 | PA      | $1054798.15    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $50379.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080086 G2 06/27 FLOATING VAR               | CUSIP: 36225CCY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7460 | PA      | $7504.94       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BX99<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5150000 | PA      | $5144125.40    | 0.09%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $33598.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                        | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3305541.03    | 0.06%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1433.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $57.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                        | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2603330.47    | 0.04%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAPITAL COMPANY GUAR 02/28 VAR           | CUSIP: 65339KDH0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    5750000 | PA      | $5800925.74    | 0.10%             | 2028-02-04      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080579 G2 02/32 FLOATING VAR               | CUSIP: 36225CUD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159574 | PA      | $161969.65     | 0.00%             | 2032-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $743.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS & FRAGRANCES INC                            | INTERNAL FLV+FGR INC 10/25 ZCP                          | CUSIP: 4595A2X61<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     600000 | PA      | $599575.56     | 0.01%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                              | GENERAL MOTORS FINL CO SR UNSECURED 04/28 5.05          | CUSIP: 37045XFE1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1575342.24    | 0.03%             | 2028-04-04      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-738.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                           | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4446676 | PA      | $4470462.02    | 0.08%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-69                                         | FANNIE MAE FNR 2025 69 FA                               | CUSIP: 3136BWB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   63596423 | PA      | $63930914.30   | 1.10%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                            | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT        | CUSIP: 68383NCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1331127 | PA      | $1314950.79    | 0.02%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 900883 FN 01/37 FIXED 6                       | CUSIP: 31410X2Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6333 | PA      | $6627.98       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP SR UNSECURED 144A 07/28 4.62           | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $505024.76     | 0.01%             | 2028-07-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                   | KKR FINANCIAL CLO LTD KKR 36A AR 144A                   | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1300024.78    | 0.02%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 258338 FN 04/35 FIXED 5                       | CUSIP: 31371P4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13768 | PA      | $13711.20      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                          | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS A 144A     | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $76976.89      | 0.00%             | 2036-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ORACLE CORPORATION SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $101747.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                      | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A       | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7259011 | PA      | $7175794.05    | 0.12%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                              | GENERAL MOTORS FINL CO GENERAL MOTORS FINL CO           | CUSIP: 37045XEQ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   14700000 | PA      | $14955788.82   | 0.26%             | 2027-05-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $548.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3243675.74   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $931.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-12                                                | FANNIE MAE FNR 2008 12 FA                               | CUSIP: 31396YMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14316 | PA      | $14335.23      | 0.00%             | 2038-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 FA                               | CUSIP: 3136BTXB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16819408 | PA      | $16988394.61   | 0.29%             | 2054-12-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-1                                           | MORTGAGEIT TRUST MHL 2005 1 1A1                         | CUSIP: 61913PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71435 | PA      | $72672.10      | 0.00%             | 2035-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008814 G2 02/26 FLOATING VAR               | CUSIP: 36202KYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        391 | PA      | $390.23        | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                 | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1          | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99489 | PA      | $99303.31      | 0.00%             | 2042-11-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | MORGAN STANLEY BANK NA SR UNSECURED 01/29 VAR           | CUSIP: 61690DK72<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1629016.62    | 0.03%             | 2029-01-12      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $12.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008913 G2 07/26 FLOATING VAR               | CUSIP: 36202K3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $63.37         | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1999-2                                      | VENDEE MORTGAGE TRUST VENDE 1999 2 1Z                   | CUSIP: 911760MV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1479889 | PA      | $1508936.65    | 0.03%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A         | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     398663 | PA      | $235191.29     | 0.00%             | 2037-01-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 LTD 2021-14A                                           | AGL CLO 14, LTD. AGL 2021 14A AR 144A                   | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000939.05    | 0.02%             | 2034-12-02      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-431.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2594 FN 03/46 FIXED 4.5                     | CUSIP: 31418B3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3636 | PA      | $3610.39       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP/THE SR UNSECURED 01/26 1.375                   | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   22500000 | PA      | $22294655.78   | 0.38%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL SECURED 144A 07/26 VAR           | CUSIP: 743672AG2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $9006863.76    | 0.15%             | 2026-07-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A      | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $503750.80     | 0.01%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 878476 FN 02/36 FIXED 6                       | CUSIP: 31409T6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4308 | PA      | $4451.98       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1612.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 04/26 4.875                             | CUSIP: 91282CKK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36100000 | PA      | $36313594.31   | 0.62%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $139.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                           | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31413 | PA      | $30199.32      | 0.00%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $9047.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO MORTGAGE GROUP 2003-13                                   | ABN AMRO MORTGAGE CORP AMAC 2003 13 A3                  | CUSIP: 000780NZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13807 | PA      | $14029.90      | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE 10/25 ZCP                                  | CUSIP: 22823PX99<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     700000 | PA      | $699192.97     | 0.01%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $684.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC       | CUSIP: 345397F81<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2007232.50    | 0.03%             | 2026-11-05      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0575 FN 11/30 FIXED 4.5                     | CUSIP: 31417YT98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7027 | PA      | $7068.16       | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                    | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A               | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1204668.80    | 0.02%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 880423 FN 04/36 FIXED 6                       | CUSIP: 31409WD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5396 | PA      | $5511.22       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD9433 FR 03/52 FIXED 3               | CUSIP: 3133B7PS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5116415 | PA      | $4503417.97    | 0.08%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8835 FN 08/48 FIXED 4                       | CUSIP: 3140HNY97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4661687 | PA      | $4480757.50    | 0.08%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       7347 | NC      | $860961.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $476000.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL0449 FN 12/25 FIXED 3.59                    | CUSIP: 3140HRQB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11350000 | PA      | $11311476.85   | 0.19%             | 2025-12-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3404                                                  | FREDDIE MAC FHR 3404 AF                                 | CUSIP: 31397PST8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1162142 | PA      | $1169867.61    | 0.02%             | 2038-01-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $24457.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-24833.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1181.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735861 FN 09/33 FIXED VAR                     | CUSIP: 31402RQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11846 | PA      | $12197.16      | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-131                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 131 BW          | CUSIP: 38379E2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116759 | PA      | $115736.17     | 0.00%             | 2041-05-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.15000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4194313.63   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902067 FN 12/36 FIXED 6                       | CUSIP: 31411AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2250 | PA      | $2318.27       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE5                                     | LOANCORE 2021 CRE5 ISSUER, LTD LNCR 2021 CRE5 A 144A    | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1004631 | PA      | $1005346.42    | 0.02%             | 2036-07-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE2239 FN 02/47 FIXED 3.5                     | CUSIP: 3140FMPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     497175 | PA      | $466647.75     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 722083 FN 07/33 FIXED 4.5                     | CUSIP: 31401YFY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8137 | PA      | $7974.11       | 0.00%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 FC                                 | CUSIP: 3137HJGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4526349 | PA      | $4536054.80    | 0.08%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-272553.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 992141 FN 10/38 FIXED 6                       | CUSIP: 31415XEN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14622 | PA      | $15416.28      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271JX10<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1049877.05    | 0.02%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102973 | PA      | $98401.48      | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | 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        |    4700000 | PA      | $4687677.07    | 0.08%             | 2038-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 2A4       | CUSIP: 22541QUN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9744 | PA      | $9594.01       | 0.00%             | 2033-10-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV COMPANY GUAR 144A 07/26 1.375      | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    3200000 | PA      | $3137265.28    | 0.05%             | 2026-07-12      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 797807 FN 04/35 FIXED 5                       | CUSIP: 31405SKU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3132 | PA      | $3204.84       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $15820.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A     | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162664 | PA      | $157054.95     | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                               | PARALLEL LTD PARL 2021 1A AR 144A                       | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1200960.00    | 0.02%             | 2034-07-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4400000 | NC      | $-929.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-27192.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                       | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13406 | PA      | $13852.83      | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | 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        |    1667336 | PA      | $1604367.85    | 0.03%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 1A1         | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390794 | PA      | $339762.52     | 0.01%             | 2035-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24800 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $38065.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4224                                           | FREDDIE MAC FHR 4224 FB                                 | CUSIP: 3137B3C48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3279961 | PA      | $3230737.10    | 0.06%             | 2043-07-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $124608.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-245215.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0424A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50000 | PA      | $49941.86      | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902486 FN 11/36 FIXED 6                       | CUSIP: 31411AUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1552 | PA      | $1605.45       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190371 FN 07/36 FIXED VAR                     | CUSIP: 31368HMU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1034 | PA      | $1095.02       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA3                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1        | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15850 | PA      | $16179.04      | 0.00%             | 2034-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-62                                         | FANNIE MAE FNR 2016 62 AF                               | CUSIP: 3136ATVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1856068 | PA      | $1843134.76    | 0.03%             | 2046-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                           | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A         | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1400000 | PA      | $1405673.43    | 0.02%             | 2035-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 679708 FN 09/41 FLOATING VAR                  | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9845 | PA      | $9913.75       | 0.00%             | 2041-09-01      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F           | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     835909 | PA      | $838198.82     | 0.01%             | 2066-05-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                  | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11          | CUSIP: 02660VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193991 | PA      | $185366.46     | 0.00%             | 2035-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080023 G2 12/26 FLOATING VAR               | CUSIP: 36225CAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $288.14        | 0.00%             | 2026-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2894 FN 02/52 FIXED 3                       | CUSIP: 3140QNGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   52747016 | PA      | $46497376.40   | 0.80%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-AA    | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 AA A2 144A    | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7588754 | PA      | $7624108.13    | 0.13%             | 2027-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A A 144A     | CUSIP: ACI2X1Q61<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2200000 | PA      | $2582654.46    | 0.04%             | 2035-02-15      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $51.65         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0096 FN 06/29 FIXED 4.5                     | CUSIP: 31417YDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $245.89        | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAM2A9 PIMCO SWAPTION 3.55 CALL USD 2025102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3700000 | NC      | $-12911.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-41093.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 563869 FN 01/31 FIXED 8                       | CUSIP: 31386HMS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        514 | PA      | $514.99        | 0.00%             | 2031-01-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $16611.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADXA5 PIMCO SWAPTION 3.385 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2700000 | NC      | $-570.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                                     | BGC GROUP INC SR UNSECURED 144A 04/30 6.15              | CUSIP: 05555LAC5<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3283103.84    | 0.06%             | 2030-04-02      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 945766 FN 09/37 FIXED 6.5                     | CUSIP: 31413HFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21752 | PA      | $22758.24      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-485425.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4592535.52   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK1462 FN 04/48 FIXED 4                       | CUSIP: 3140HETU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     623874 | PA      | $599568.65     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2826                                                  | FREDDIE MAC FHR 2826 YT                                 | CUSIP: 31395CZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187682 | PA      | $189318.22     | 0.00%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $4996.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                                             | CAMPBELL SOUP CO.                                       | CUSIP: 13443CX97<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     550000 | PA      | $549393.41     | 0.01%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFEA1 PIMCO SWAPTION 3.675 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-9039.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-8                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 8 A1 144A            | CUSIP: 03465QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     807093 | PA      | $811238.00     | 0.01%             | 2069-05-27      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 546990 FN 07/30 FIXED 8                       | CUSIP: 31385KUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        158 | PA      | $158.22        | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                   | TOYOTA MOTOR CREDIT CORP SR UNSECURED 08/26 4.55        | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4927620.08    | 0.08%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                      | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                  | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3400000 | PA      | $3402722.35    | 0.06%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                      | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 04/29 5.875  | CUSIP: 147918AC0<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |   11300000 | PA      | $11932501.23   | 0.20%             | 2029-04-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-24                                         | FANNIE MAE FNR 2025 24 FB                               | CUSIP: 3136BVSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8723464 | PA      | $8737393.92    | 0.15%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-478438.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1417301.17   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-541.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H26                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H26 DF          | CUSIP: 38383KKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1812146 | PA      | $1803467.40    | 0.03%             | 2073-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                  | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     685396 | PA      | $678407.41     | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008865 G2 05/26 FLOATING VAR               | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $202.29        | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9300810 | PA      | $8850293.25    | 0.15%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                      | ALIMENTATION COUCHE TARD INC 10/25 ZCP                  | CUSIP: 01626UX26<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    2950000 | PA      | $2949296.72    | 0.05%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QE8941 FR 09/52 FIXED 5               | CUSIP: 3133BJ5A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8108029 | PA      | $8085842.03    | 0.14%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                              | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A1           | CUSIP: 617463AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12951 | PA      | $4139.47       | 0.00%             | 2036-11-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A       | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     194594 | PA      | $194903.89     | 0.00%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6264582.24    | 0.11%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5038260.20    | 0.09%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H08 FD          | CUSIP: 38375UVD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2933849 | PA      | $2934623.13    | 0.05%             | 2065-03-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                  | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A   | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2801549.77    | 0.05%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A        | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1101049.25    | 0.02%             | 2034-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -227 | NC      | $-112010.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XIV LLC 2022-1A                                  | OSCAR US FUNDING TRUST OSCAR 2022 1A A4 144A            | CUSIP: 68784HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |   15002900 | PA      | $14846979.36   | 0.25%             | 2029-04-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SEASONED LOANS STRUCTURED TRANSACTION TRUST SERIES 2023-1         | FREDDIE MAC   SLST SLST 2023 1 A11 144A                 | CUSIP: 35564CNN3<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    1698970 | PA      | $1698629.98    | 0.03%             | 2033-10-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0706 FN 04/31 FIXED 4.5                     | CUSIP: 31417YYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7738 | PA      | $7785.04       | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-106                                               | FANNIE MAE FNR 2009 106 FA                              | CUSIP: 31398GUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7379 | PA      | $7408.72       | 0.00%             | 2040-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-94297.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-517.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-68                                                | FANNIE MAE FNR 2007 68 FA                               | CUSIP: 31396WL20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75126 | PA      | $74165.84      | 0.00%             | 2037-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1447 FN 07/47 FIXED VAR                     | CUSIP: 3140J5TD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3047041 | PA      | $2851125.51    | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     300000 | PA      | $312949.30     | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 11/28 4.375                             | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31200000 | PA      | $31880062.66   | 0.55%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED REGS 02/27 VAR            | CUSIP: ACI2MZXR4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    8200000 | PA      | $9685120.15    | 0.17%             | 2027-02-23      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134645 | PA      | $129099.87     | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CATAMARAN CLO LTD 2014-1A                                         | CATAMARAN CLO LTD CRMN 2014 1A A1AR 144A                | CUSIP: 14889DAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     447975 | PA      | $448534.84     | 0.01%             | 2030-04-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10467 | PA      | $9557.29       | 0.00%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $59917.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                             | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                  | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   12563794 | PA      | $12571733.30   | 0.22%             | 2037-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2017-2 DAC                                      | BLACK DIAMOND CLO BLACK 2017 2A A1 144A                 | CUSIP: ACI1XBRF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      35333 | PA      | $41504.29      | 0.00%             | 2032-01-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/26 3.625                             | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  590900000 | PA      | $590125820.55  | 10.13%            | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                       | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A            | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3077685 | PA      | $3080666.64    | 0.05%             | 2038-03-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $28995.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 839109 FN 11/35 FLOATING VAR                  | CUSIP: 31407SGS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5815 | PA      | $5942.17       | 0.00%             | 2035-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-21                                                | FANNIE MAE FNR 2007 21 FC                               | CUSIP: 31396P3U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161314 | PA      | $159693.53     | 0.00%             | 2037-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-25.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0844 FN 08/31 FIXED 4.5                     | CUSIP: 31417Y5E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2895 | PA      | $2913.00       | 0.00%             | 2031-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                 | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10547691 | PA      | $10561809.48   | 0.18%             | 2036-12-16      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2023-AA                                    | CHASE AUTO OWNER TRUST CHAOT 2023 AA A3 144A            | CUSIP: 16144KAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1689078 | PA      | $1709226.43    | 0.03%             | 2029-01-25      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                           | FREDDIE MAC FHR 5563 FV                                 | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48777028 | PA      | $49033268.17   | 0.84%             | 2055-08-25      | Floating      | 5.34%                 | 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        |    1446400 | PA      | $1946204.88    | 0.03%             | 2045-06-13      | Floating      | 5.04%                 | 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        |    6300000 | PA      | $6506129.89    | 0.11%             | 2030-02-19      | Fixed         | 5.38%                 | 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        |   11331216 | PA      | $11446193.67   | 0.20%             | 2055-02-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C65574 FG 04/32 FIXED 7               | CUSIP: 31287RFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2171 | PA      | $2269.81       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257281 FN 07/28 FIXED 5                       | CUSIP: 31371NXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        592 | PA      | $595.00        | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                            | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2102205.00    | 0.04%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3200                                                  | FREDDIE MAC FHR 3200 SB                                 | CUSIP: 31397AJC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1634582 | PA      | $191456.10     | 0.00%             | 2036-08-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                            | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                  | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2400000 | PA      | $2409782.45    | 0.04%             | 2035-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY 11/27 VAR                              | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   19000000 | PA      | $19093743.53   | 0.33%             | 2027-11-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-84                                                | FANNIE MAE FNR 2007 84 FN                               | CUSIP: 31396XLZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14836 | PA      | $14768.39      | 0.00%             | 2037-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3057.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $30677.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                            | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A     | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     496979 | PA      | $500446.40     | 0.01%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83898 | PA      | $84481.29      | 0.00%             | 2044-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| PARK AVENUE INSTITUTIONAL ADVI 2021-1A                            | PARK AVENUE INSTITUTIONAL ADVI PAIA 2021 1A A1AR 144A   | CUSIP: 70015QAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700383.74     | 0.01%             | 2034-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                               | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1             | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5119267 | PA      | $5328025.50    | 0.09%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNPAM-2018-1A                                                     | BNPP IP EURO CLO BNPAM 2018 1A AR 144A                  | CUSIP: ACI1W1J88<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     299442 | PA      | $351568.20     | 0.01%             | 2031-04-15      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995069 FN 10/38 FIXED VAR                     | CUSIP: 31416BMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        453 | PA      | $477.95        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      21802 | NC      | $3228687.46    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-755.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS-246                                            | FREDDIEMAC STRIP FHS 246 F14                            | CUSIP: 3128HWUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4567 | PA      | $4532.84       | 0.00%             | 2037-05-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1          | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     673434 | PA      | $657894.05     | 0.01%             | 2034-05-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-104                                        | FANNIE MAE FNR 2024 104 FA                              | CUSIP: 3136BUEQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3608251 | PA      | $3613244.54    | 0.06%             | 2055-01-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4733 FN 06/53 FIXED 5                       | CUSIP: 3140NMHK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3630420 | PA      | $3610641.75    | 0.06%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-3A                                                  | VOYA CLO LTD VOYA 2017 3A A1RR 144A                     | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2300000 | PA      | $2302951.48    | 0.04%             | 2034-04-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  384300000 | PA      | $384299999.99  | 6.60%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1019.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                        | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3900000 | PA      | $3906474.70    | 0.07%             | 2034-10-28      | Floating      | 5.46%                 | 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        |   54114055 | PA      | $52465836.13   | 0.90%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 04/26 4.55                    | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2100000 | PA      | $2105853.81    | 0.04%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-HX                  | 313EMW9Z2                                               | CUSIP: 990AAVQC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $15000000.00   | 0.26%             | 2055-10-01      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937937 FN 06/37 FIXED 6                       | CUSIP: 31412XPW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22488 | PA      | $23266.63      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255459 FN 11/34 FIXED 6                       | CUSIP: 31371LWU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2563 | PA      | $2665.79       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3.38          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2              | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9518 | PA      | $9558.18       | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8042 FR 12/49 FIXED 5               | CUSIP: 3132DV5B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5055 | PA      | $5080.02       | 0.00%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0090 FN 03/29 FIXED 4.5                     | CUSIP: 31416VC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        210 | PA      | $209.72        | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918       | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3560631.31    | 0.06%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -416000000 | PA      | $-365477939.84 | -6.28%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0383 FN 04/30 FIXED 4.5                     | CUSIP: 31417YM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10409 | PA      | $10444.36      | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $28453.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257203 FN 05/28 FIXED 5                       | CUSIP: 31371NU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1835 | PA      | $1846.06       | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257132 FN 03/28 FIXED 5                       | CUSIP: 31371NSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7096 | PA      | $7142.12       | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535401 FN 07/30 FIXED VAR                     | CUSIP: 31384VX64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $148.05        | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB1240 FR 12/32 FIXED 2.5             | CUSIP: 3132CXLV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1507203 | PA      | $1459693.82    | 0.03%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080095 G2 07/27 FLOATING VAR               | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20462 | PA      | $20564.33      | 0.00%             | 2027-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-3726.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2277.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-381361.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-185.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL V83093 FG 04/47 FIXED 3.5             | CUSIP: 3132L8NJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3448763 | PA      | $3229159.89    | 0.06%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZM5146 FR 12/47 FIXED 4               | CUSIP: 3131XYWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1095973 | PA      | $1053891.59    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-5007.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE 2021-PARK MORTGAGE TRUST                                      | ONE PARK MORTGAGE TRUST ONP 2021 PARK A 144A            | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2416008.21    | 0.04%             | 2036-03-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-1                              | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 1A1           | CUSIP: 29445FAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125942 | PA      | $124127.91     | 0.00%             | 2034-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR              | CUSIP: 46647PEF9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $5029313.65    | 0.09%             | 2028-04-22      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256045 FN 12/25 FIXED 5                       | CUSIP: 31371ML21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $26.95         | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $28.51         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 992144 FN 10/38 FIXED 6                       | CUSIP: 31415XER8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11516 | PA      | $12000.55      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1          | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4040 | PA      | $4019.23       | 0.00%             | 2030-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL            | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A    | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4826496 | PA      | $4646880.61    | 0.08%             | 2038-08-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF7047 FR 02/53 FIXED 5               | CUSIP: 3133BUZL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1323569 | PA      | $1317463.31    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1149.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   16531681 | PA      | $16552459.70   | 0.28%             | 2037-02-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                           | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A          | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3092085 | PA      | $3093831.65    | 0.05%             | 2031-07-27      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H28                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H28 FE          | CUSIP: 38375BJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     196946 | PA      | $196817.33     | 0.00%             | 2060-12-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE 10/25 ZCP                                  | CUSIP: 22823PXP3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   10200000 | PA      | $10169849.82   | 0.17%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1025.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-229.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42107.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $42075.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF          | CUSIP: 38382YAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8323369 | PA      | $8518991.58    | 0.15%             | 2071-08-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                      | ABU DHABI DEVELOPMENTAL ABU DHABI DEVELOPMENTAL         | CUSIP: 00402D2A2<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    3900000 | PA      | $4060307.59    | 0.07%             | 2029-05-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-622704.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $4170.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138056 | PA      | $134759.45     | 0.00%             | 2035-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                        | GUGGENHEIM CLO LTD GUGG 2022 2A A1R 144A                | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000600.00    | 0.02%             | 2035-01-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190317 FN 08/31 FIXED VAR                     | CUSIP: 31368HK69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83365 | PA      | $87734.14      | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA SR UNSECURED 08/26 VAR             | CUSIP: 78017DAE8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    4800000 | PA      | $4807856.59    | 0.08%             | 2026-08-03      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17800000 | PA      | $17655669.23   | 0.30%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $44.51         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080054 G2 03/27 FLOATING VAR               | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3040 | PA      | $3044.25       | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9044 FN 11/47 FIXED 4                       | CUSIP: 3140GYBN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     541535 | PA      | $520628.02     | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A                 | SFS AUTO RECEIVABLES SECURITIZ SFAST 2023 1A A3 144A    | CUSIP: 78398AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1485163 | PA      | $1496104.03    | 0.03%             | 2028-10-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 548027 FN 08/30 FIXED 8                       | CUSIP: 31385NYY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $43.41         | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                | CUSIP: 639057AL2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2800000 | PA      | $2853068.18    | 0.05%             | 2028-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR          | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1992 | PA      | $2043.42       | 0.00%             | 2035-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3004 FN 01/46 FIXED VAR                     | CUSIP: 3140X6KS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40474182 | PA      | $38977634.15   | 0.67%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG9295 FR 08/53 FIXED 5.5             | CUSIP: 3133CAKG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2334304 | PA      | $2363006.00    | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 09/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8630.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                              | GLENCORE FUNDING LLC                                    | CUSIP: 37790AXG3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1996157.00    | 0.03%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-328.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2                         | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 A            | CUSIP: 759950AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39700 | PA      | $38240.85      | 0.00%             | 2032-08-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                               | NEXTERA ENERGY CAP HLDGS INC 10/25 ZCP                  | CUSIP: 65339MXL5<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     900000 | PA      | $897858.09     | 0.02%             | 2025-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                 | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A2A        | CUSIP: 81379EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     314270 | PA      | $243846.98     | 0.00%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1500000 | PA      | $1505133.48    | 0.03%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                               | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222911 | PA      | $221210.90     | 0.00%             | 2031-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08793 FG 12/47 FIXED 4               | CUSIP: 3128MJ3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1282011 | PA      | $1234286.91    | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                              | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1349242 | PA      | $1350290.67    | 0.02%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832803 FN 09/35 FLOATING VAR                  | CUSIP: 31407KGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4971 | PA      | $5070.46       | 0.00%             | 2035-09-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FH          | CUSIP: 38380QGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17106766 | PA      | $17409193.26   | 0.30%             | 2070-08-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4656 | PA      | $4716.00       | 0.00%             | 2035-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-685.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4264 FN 03/53 FIXED VAR                     | CUSIP: 3140XKW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1183384 | PA      | $1179718.37    | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX8646 FN 04/53 FIXED 5                       | CUSIP: 3140NDTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1318247 | PA      | $1317690.85    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8452 FR 08/54 FIXED 5               | CUSIP: 3132DWL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     552333 | PA      | $548346.22     | 0.01%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     600000 | PA      | $704430.40     | 0.01%             | 2035-07-15      | Floating      | 2.96%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01183 FG 02/31 FIXED 7               | CUSIP: 31283HJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.20         | 0.00%             | 2031-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                 | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                 | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    6905196 | PA      | $8115783.17    | 0.14%             | 2032-08-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                                             | THE CAMPBELLS COMPANY SR UNSECURED 03/26 5.3            | CUSIP: 134429BL2<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   11300000 | PA      | $11341462.75   | 0.19%             | 2026-03-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0268 FN 12/29 FIXED 5                       | CUSIP: 31417YJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7581 | PA      | $7683.73       | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                      | ALIMENTATION COUCHE TARD INC 10/25 ZCP                  | CUSIP: 01626UX18<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    3950000 | PA      | $3949529.95    | 0.07%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29300000 | PA      | $29300000.00   | 0.50%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2199.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3203                                                  | FREDDIE MAC FHR 3203 CF                                 | CUSIP: 31397APT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12037 | PA      | $11992.87      | 0.00%             | 2036-05-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14373.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-185.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 QF                                 | CUSIP: 3137HJVX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4157264 | PA      | $4174802.18    | 0.07%             | 2055-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255267 FN 06/34 FIXED 6                       | CUSIP: 31371LQU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        690 | PA      | $717.65        | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD2723 FN 08/46 FIXED 4.5                     | CUSIP: 3140FAAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81917 | PA      | $80661.82      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                       | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU A 144A      | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4418000 | PA      | $4393892.74    | 0.08%             | 2032-11-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1047.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX6179 FN 02/53 FIXED 5                       | CUSIP: 3140NA2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6364877 | PA      | $6348272.84    | 0.11%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 753275 FN 12/33 FIXED 5                       | CUSIP: 31403M2G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97356 | PA      | $97551.48      | 0.00%             | 2033-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $2334606.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865420 FN 02/36 FIXED 6.5                     | CUSIP: 31409APD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2523 | PA      | $2636.22       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2581.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A   | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1070720 | PA      | $288722.38     | 0.00%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LTD                                              | LFT CRE LLC LMNT 2021 FL1 A 144A                        | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6368931 | PA      | $6385410.27    | 0.11%             | 2039-06-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-50.74        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3561179.56   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2021 2400 A 144A               | CUSIP: 20048FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19378759 | PA      | $19128907.76   | 0.33%             | 2038-12-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                            | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M2          | CUSIP: 64352VKB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1697147 | PA      | $1707960.60    | 0.03%             | 2035-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $8.55          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 591219 FN 08/31 FIXED 8                       | CUSIP: 31387QYQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        634 | PA      | $635.57        | 0.00%             | 2031-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2684.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-129                                               | FANNIE MAE FNR 2006 129 FM                              | CUSIP: 31396L5K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2387 | PA      | $2357.08       | 0.00%             | 2037-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOUTH AFRICA EM SP MYC                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $352609.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3029 FN 06/32 FIXED 3                       | CUSIP: 31418CLK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7252802 | PA      | $7076248.74    | 0.12%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                        | CAPITAL FOUR CLO CFOUR 10A A 144A                       | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1175943.23    | 0.02%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5568                                           | FREDDIE MAC FHR 5568 FE                                 | CUSIP: 3137HMN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38405014 | PA      | $38613092.42   | 0.66%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H27                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H27 FG          | CUSIP: 38376RJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3315467 | PA      | $3343558.23    | 0.06%             | 2066-12-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 878095 FN 04/36 FIXED 6                       | CUSIP: 31409TRQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27073 | PA      | $28417.98      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST A 144A   | CUSIP: 46652DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $3465000.00    | 0.06%             | 2036-12-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080428 G2 07/30 FLOATING VAR               | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $830.95        | 0.00%             | 2030-07-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2871 FN 01/32 FIXED 3                       | CUSIP: 31418CFM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5697618 | PA      | $5562905.56    | 0.10%             | 2032-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $62598.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5425.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                           | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/28 5.05   | CUSIP: 928668CP5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   23145000 | PA      | $23451325.23   | 0.40%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8290 FR 01/53 FIXED 6               | CUSIP: 3132DWF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73264 | PA      | $75229.93      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                         | STELLANTIS FIN US INC COMPANY GUAR 144A 03/28 5.35      | CUSIP: 85855CAM2<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2026787.68    | 0.03%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0384 FN 09/47 FIXED 3.5                     | CUSIP: 3140Q7NA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23853783 | PA      | $22076182.05   | 0.38%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                               | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A               | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     307625 | PA      | $307073.88     | 0.01%             | 2031-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3271                                                  | FREDDIE MAC FHR 3271 FA                                 | CUSIP: 31397FFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24376 | PA      | $24138.79      | 0.00%             | 2037-02-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0883 FR 02/52 FIXED 3               | CUSIP: 3132DM6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1456741 | PA      | $1284143.07    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754031 FN 12/33 FLOATING VAR                  | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29417 | PA      | $30070.38      | 0.00%             | 2033-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                       | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18737608 | PA      | $18785794.51   | 0.32%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-325.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $296230.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 630252 FN 03/32 FIXED 6                       | CUSIP: 31389NEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2457 | PA      | $2551.76       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 11/26 VAR                | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    5600000 | PA      | $5617720.58    | 0.10%             | 2026-11-10      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 FA          | CUSIP: 38383KGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12151162 | PA      | $12258804.18   | 0.21%             | 2073-08-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-44510.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 828982 FN 08/35 FLOATING VAR                  | CUSIP: 31407E6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     393260 | PA      | $401737.62     | 0.01%             | 2035-08-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1.16          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-90                                         | FANNIE MAE FNR 2024 90 ED                               | CUSIP: 3136BTYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11918859 | PA      | $11151374.11   | 0.19%             | 2046-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735561 FN 04/34 FLOATING VAR                  | CUSIP: 31402RFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75126 | PA      | $76568.61      | 0.00%             | 2034-04-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -97 | NC      | $-20781.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923913 FN 02/37 FIXED 6.5                     | CUSIP: 31412FN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6336 | PA      | $6607.76       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -97 | NC      | $-10811.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     648385 | PA      | $545224.33     | 0.01%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                               | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A      | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1806759.29    | 0.03%             | 2035-01-18      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                               | FANNIE MAE FNR 2009 111 FC                              | CUSIP: 31398GQS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156022 | PA      | $156257.61     | 0.00%             | 2038-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4277 FN 06/53 FIXED 4.5                     | CUSIP: 3140NLXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     914933 | PA      | $889412.12     | 0.02%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                | BACARDI MARTINI B V                                     | CUSIP: 05634EXG2<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2145603.68    | 0.04%             | 2025-10-16      | None          | 0.00%                 | 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        |    1000000 | PA      | $1001401.20    | 0.02%             | 2033-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG0558 FR 04/53 FIXED 5               | CUSIP: 3133C0TP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1416451 | PA      | $1415853.67    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-5                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 5 1A11         | CUSIP: 05946XE58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     154628 | PA      | $157165.22     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-20                                                | FANNIE MAE FNR 2007 20 FP                               | CUSIP: 31396PZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     318554 | PA      | $314633.42     | 0.01%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4130                                           | FREDDIE MAC FHR 4130 AB                                 | CUSIP: 3137AVY35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3137642 | PA      | $3065675.93    | 0.05%             | 2027-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1J1219 FH 10/35 FLOATING VAR          | CUSIP: 3128NHK85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88115 | PA      | $89978.47      | 0.00%             | 2035-10-01      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080569 G2 01/32 FLOATING VAR               | CUSIP: 36225CT30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80884 | PA      | $81960.16      | 0.00%             | 2032-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 08/27 4.703              | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    5000000 | PA      | $5017189.35    | 0.09%             | 2027-08-05      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2581.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-44.34        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                         | FANNIE MAE FNR 2025 66 FL                               | CUSIP: 3136BWZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   51153623 | PA      | $51421913.56   | 0.88%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-117                                               | FANNIE MAE FNR 2010 117 FE                              | CUSIP: 31398NQ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2645 | PA      | $2622.88       | 0.00%             | 2040-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A    | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    2100000 | PA      | $2107458.09    | 0.04%             | 2035-04-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4960                                           | FREDDIE MAC FHR 4960 PG                                 | CUSIP: 3137FRHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97557 | PA      | $86164.19      | 0.00%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/27 4.875   | CUSIP: 44891ADU8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3329619.55    | 0.06%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5515                                           | FREDDIE MAC FHR 5515 F                                  | CUSIP: 3137HKJ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27892575 | PA      | $27460705.42   | 0.47%             | 2051-02-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORP SR UNSECURED 08/28 VAR                      | CUSIP: 68389XCX1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3419607.90    | 0.06%             | 2028-08-03      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-16                                         | FANNIE MAE FNR 2025 16 FA                               | CUSIP: 3136BU5D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12211062 | PA      | $12260834.41   | 0.21%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BU9251 FN 04/52 FIXED 3                       | CUSIP: 3140MBH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     675420 | PA      | $594534.16     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8362 FR 09/53 FIXED 5.5             | CUSIP: 3132DWJF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1692261 | PA      | $1710378.91    | 0.03%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080015 G2 11/26 FLOATING VAR               | CUSIP: 36225CAR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        499 | PA      | $501.04        | 0.00%             | 2026-11-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $685.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17614 | PA      | $17438.96      | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8288 FR 01/53 FIXED 5               | CUSIP: 3132DWF57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22601 | PA      | $22534.20      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES INC                                         | CONTINENTAL RESOURCES COMPANY GUAR 144A 11/26 2.268     | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1170335.78    | 0.02%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-318.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8347 FR 08/53 FIXED 4.5             | CUSIP: 3132DWHY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4163623 | PA      | $4052236.55    | 0.07%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                                  | FREDDIE MAC FHR 2395 FT                                 | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10955 | PA      | $10934.45      | 0.00%             | 2031-12-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-257.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 11/27 5.85             | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     600000 | PA      | $615764.23     | 0.01%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-84                                         | FANNIE MAE FNR 2013 84 PS                               | CUSIP: 3136AF5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7171476 | PA      | $599761.28     | 0.01%             | 2042-11-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4000483.57    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-227672.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 6 LP 2025-1                                 | PK ALIFT LOAN FUNDING PKAIR 2025 1 A 144A               | CUSIP: 69291YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1449831 | PA      | $1460980.29    | 0.03%             | 2042-11-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $32285.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2631.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C55740 FG 01/30 FIXED 7               | CUSIP: 31298SLV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        649 | PA      | $679.06        | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                        | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244         | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3070227.69    | 0.05%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $17446.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EQUINIX INC SNR S* SP GST                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $845970.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2      | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP2 PT 144A      | CUSIP: 12654QBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14844846 | PA      | $14804493.43   | 0.25%             | 2050-06-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR                | CUSIP: 404280DY2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3200000 | PA      | $3227948.83    | 0.06%             | 2027-08-14      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                                | AMERICAN HONDA FINANCE SR UNSECURED 08/27 VAR           | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   14300000 | PA      | $14329747.58   | 0.25%             | 2027-08-13      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A2         | CUSIP: 05949AH94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33888 | PA      | $33111.58      | 0.00%             | 2035-02-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                         | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13645766 | PA      | $13701252.44   | 0.24%             | 2055-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3600000 | NC      | $-21956.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2340                                                  | FREDDIE MAC FHR 2340 PZ                                 | CUSIP: 313398EE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77121 | PA      | $80360.58      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33909900 | PA      | $32106565.75   | 0.55%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4123                                           | FREDDIE MAC FHR 4123 AH                                 | CUSIP: 3137AUXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2972330 | PA      | $2901762.97    | 0.05%             | 2027-10-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5300000 | NC      | $-1434.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                        | ABBVIE INC ABBVIE INC                                   | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   16100000 | PA      | $16290210.71   | 0.28%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-H02                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 H02 FA          | CUSIP: 38375BAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366393 | PA      | $367464.76     | 0.01%             | 2060-02-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA CITIBANK NA                                 | CUSIP: 17325FBJ6<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   12900000 | PA      | $12998156.36   | 0.22%             | 2026-08-06      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-4                                    | HOME EQUITY ASSET TRUST HEAT 2006 4 2A4                 | CUSIP: 437084VN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3418104 | PA      | $3395272.72    | 0.06%             | 2036-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 984845 FN 07/38 FIXED 6                       | CUSIP: 31415PBN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12129 | PA      | $12709.44      | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-11813.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXH1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2394770.40    | 0.04%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-731.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-447.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 905783 FN 11/36 FIXED 6                       | CUSIP: 31411EJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23489 | PA      | $24478.91      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8360 FR 09/53 FIXED 4.5             | CUSIP: 3132DWJD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     896683 | PA      | $871860.99     | 0.01%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-906.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-84                                         | FANNIE MAE FNR 2012 84 SJ                               | CUSIP: 3136A7P48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     762491 | PA      | $114127.68     | 0.00%             | 2042-01-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21125000 | PA      | $19912358.25   | 0.34%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-15880.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257238 FN 06/28 FIXED 5                       | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1184 | PA      | $1192.50       | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H08 KF          | CUSIP: 38383KYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     489992 | PA      | $491202.46     | 0.01%             | 2074-05-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                      | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3               | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712063 | PA      | $695512.12     | 0.01%             | 2035-04-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995938 FN 01/39 FIXED VAR                     | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     961994 | PA      | $1014274.35    | 0.02%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG2414 FR 04/53 FIXED 4.5             | CUSIP: 3133C2VF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     301596 | PA      | $293286.63     | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.36000 10/07/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-51056.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                     | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A           | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1204586.98    | 0.02%             | 2035-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                           | FREDDIE MAC FHR 5511 FG                                 | CUSIP: 3137HKKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7486997 | PA      | $7516544.72    | 0.13%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                   | DANSKE BANK A/S DANSKE BANK A/S                         | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    8000000 | PA      | $8138969.20    | 0.14%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929192 FN 03/38 FIXED 6.5                     | CUSIP: 31412MKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48629 | PA      | $51527.66      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1323.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UADWA6 PIMCO SWAPTION 3.685 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2700000 | NC      | $-9012.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735362 FN 03/35 FLOATING VAR                  | CUSIP: 31402Q5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     465298 | PA      | $469089.54     | 0.01%             | 2035-03-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $3239.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4           | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1393333 | PA      | $1463012.99    | 0.03%             | 2034-03-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                   | KKR FINANCIAL CLO LTD KKR 42A AR 144A                   | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1100013.78    | 0.02%             | 2034-07-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323115 FN 11/27 FLOATING VAR                  | CUSIP: 31374S3Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1651 | PA      | $1655.33       | 0.00%             | 2027-11-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB1720 FN 11/30 FIXED 4.5                     | CUSIP: 31416W4E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76524 | PA      | $76625.34      | 0.00%             | 2030-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   51315000 | PA      | $48357329.63   | 0.83%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-64                                                | FANNIE MAE FNR 2007 64 FA                               | CUSIP: 31396WVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     427703 | PA      | $425997.03     | 0.01%             | 2037-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1942 FN 03/26 FIXED 3.15                    | CUSIP: 3140HTEQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11350000 | PA      | $11285596.24   | 0.19%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $7540312.50    | 0.13%             | 2028-04-13      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                           | FREDDIE MAC FHR 5508 AF                                 | CUSIP: 3137HJFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6750004 | PA      | $6766029.62    | 0.12%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 686323 FN 03/33 FIXED 6                       | CUSIP: 31400FPG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $137.99        | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4121.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4182 FN 05/26 FIXED VAR                     | CUSIP: 3138ELUG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $27.60         | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $8749.07       | 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      | $-180420.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-48886.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV0592 FN 04/52 FIXED 3                       | CUSIP: 3140MDUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     616214 | PA      | $544639.44     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1340.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4706.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257101 FN 02/28 FIXED 5                       | CUSIP: 31371NRW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3465 | PA      | $3490.31       | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-284.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17884 FG 01/27 FIXED 3               | CUSIP: 3128PXXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80785 | PA      | $80081.74      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 11/26 VAR                     | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   13400000 | PA      | $13431151.52   | 0.23%             | 2026-11-02      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                     | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A9 144A     | CUSIP: 918307AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17213063 | PA      | $16084146.11   | 0.28%             | 2051-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A         | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1000000 | PA      | $1001010.40    | 0.02%             | 2029-08-16      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-279656.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.56500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8642.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1411.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                            | EXTRA SPACE STORAGE LP COMPANY GUAR 07/26 3.5           | CUSIP: 30225VAL1<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $6969098.71    | 0.12%             | 2026-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1744 FH 08/35 FLOATING VAR          | CUSIP: 3128QJ5D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105992 | PA      | $107996.38     | 0.00%             | 2035-08-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89900 03/11/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-66583.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-59843.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3004 FN 02/52 FIXED 3                       | CUSIP: 3140QNKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   55553063 | PA      | $48904924.60   | 0.84%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                     | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A     | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23100000 | PA      | $22461841.71   | 0.39%             | 2043-10-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $556.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-85.98        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-3751.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G61040 FG 06/47 FIXED 3.5             | CUSIP: 31335BEM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1677510 | PA      | $1571039.91    | 0.03%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                 | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A        | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2748109 | PA      | $587517.59     | 0.01%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 01/28 VAR            | CUSIP: 95000U3S0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15033661.95   | 0.26%             | 2028-01-24      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| EMF-NL BV 2008-APRX                                               | EMF NL BV EMFNL 2008 APRX A3 REGS                       | CUSIP: B39M0QII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |    3000000 | PA      | $3326253.06    | 0.06%             | 2041-04-17      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7X                                    | SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS  | CUSIP: 763369II8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     385444 | PA      | $427931.65     | 0.01%             | 2033-12-15      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1245250.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2961.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP SR UNSECURED 144A 07/28 VAR            | CUSIP: 62954WAR6<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    1100000 | PA      | $1111961.83    | 0.02%             | 2028-07-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD9717 FR 04/52 FIXED 3               | CUSIP: 3133B7YN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4461886 | PA      | $3931595.71    | 0.07%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4061                                           | FREDDIE MAC FHR 4061 FA                                 | CUSIP: 3137ARBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3989722 | PA      | $3948108.25    | 0.07%             | 2042-06-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5386 FN 04/52 FIXED 3                       | CUSIP: 3140MJ6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6991965 | PA      | $6156917.07    | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A5         | CUSIP: 05949CGA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795035 | PA      | $700027.75     | 0.01%             | 2035-09-25      | Floating      | 5.12%                 | 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      | $-138337.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                         | FANNIE MAE FNR 2024 38 FA                               | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     901318 | PA      | $903377.94     | 0.02%             | 2051-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $62940.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW7013 FN 08/52 FIXED 5                       | CUSIP: 3140MYYK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1882498 | PA      | $1877346.85    | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA SR UNSECURED 11/27 VAR                      | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    6550000 | PA      | $6602382.84    | 0.11%             | 2027-11-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896541 FN 09/36 FIXED 6                       | CUSIP: 31410TBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59158 | PA      | $62181.84      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD          | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   73308114 | PA      | $74609625.97   | 1.28%             | 2072-11-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-8                                   | ANGEL OAK MORTGAGE TRUST AOMT 2021 8 A1 144A            | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6602490 | PA      | $5928447.97    | 0.10%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 03/28 4.75         | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   11790000 | PA      | $11965566.66   | 0.21%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FA                                 | CUSIP: 3137HMGJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1715427 | PA      | $1722044.43    | 0.03%             | 2055-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    5600000 | PA      | $5600000.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8810 FR 03/52 FIXED 3               | CUSIP: 3133B6YF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6889575 | PA      | $6068278.06    | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559797 FN 10/30 FLOATING VAR                  | CUSIP: 31386C3E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10962 | PA      | $11037.65      | 0.00%             | 2030-10-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                         | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A           | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $800000.00     | 0.01%             | 2034-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                          | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A11 144A         | CUSIP: 67114KAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4978906 | PA      | $4648152.72    | 0.08%             | 2051-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1         | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99354 | PA      | $100241.68     | 0.00%             | 2033-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   76145195 | PA      | $747060507.53  | 12.83%            |  |  |  | No            |                  1 | On Loan: No      |
| AIR LEASE CORPORATION                                             | AIR LEASE CORP DISC COML PAPER 10/25 ZCP                | CUSIP: 00913WX75<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2497817.25    | 0.04%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                  | FREDDIE MAC FHR 3181 PS                                 | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     638403 | PA      | $65583.06      | 0.00%             | 2036-07-15      | Floating      | 1.98%                 | 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        |   19218916 | PA      | $16630748.97   | 0.29%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                               | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A         | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349223 | PA      | $349036.80     | 0.01%             | 2035-04-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117283 | PA      | $113117.65     | 0.00%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -17 | NC      | $-4790.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.28000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24983.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONE MARKET PLAZA TRUST 2017-1MKT                                  | ONE MARKET PLAZA TRUST OMPT 2017 1MKT A 144A            | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6281851 | PA      | $6091743.08    | 0.10%             | 2032-02-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41433 | PA      | $42558.23      | 0.00%             | 2035-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008717 G2 10/25 FLOATING VAR               | CUSIP: 36202KVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.82         | 0.00%             | 2025-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2              | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13030 | PA      | $12522.23      | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                 | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125  | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   16100000 | PA      | $16454223.99   | 0.28%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 836795 FN 11/35 FIXED 6.5                     | CUSIP: 31407PUU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13978 | PA      | $14686.52      | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 08/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-40901.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 804850 FN 01/35 FLOATING VAR                  | CUSIP: 31406BEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     275359 | PA      | $279511.83     | 0.00%             | 2035-01-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL3670 FN 10/26 FIXED 2.08                    | CUSIP: 3140HVCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3780000 | PA      | $3710809.86    | 0.06%             | 2026-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST 2023-A2                             | SYNCHRONY CARD ISSUANCE TRUST SYNIT 2023 A2 A           | CUSIP: 87166PAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17600000 | PA      | $17931052.48   | 0.31%             | 2029-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1859.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6               | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24641581 | PA      | $25614607.18   | 0.44%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA         | CUSIP: 44891ACW5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   17300000 | PA      | $17477105.29   | 0.30%             | 2027-01-08      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080147 G2 12/27 FLOATING VAR               | CUSIP: 36225CEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15249 | PA      | $15280.28      | 0.00%             | 2027-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                   | SANTANDER UK GROUP HLDGS SR UNSECURED 09/29 VAR         | CUSIP: 80281LAW5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    7500000 | PA      | $7512144.98    | 0.13%             | 2029-09-22      | Floating      | 5.23%                 | 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        |    2720659 | PA      | $2726084.79    | 0.05%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2005-2AR                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 2AR A           | CUSIP: 61745M4E0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     544536 | PA      | $544116.80     | 0.01%             | 2035-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                          | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5496505 | PA      | $5504474.99    | 0.09%             | 2030-10-24      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 03/28 4.75       | CUSIP: 58769JBE6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   11850000 | PA      | $12026809.82   | 0.21%             | 2028-03-31      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-801.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-181692.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $615480.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABYA8 PIMCO SWAPTION 2.55 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-98.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS6793 FN 06/53 FIXED VAR                     | CUSIP: 3140XNRP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     473967 | PA      | $447160.90     | 0.01%             | 2053-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7651.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 10/27 VAR              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8300000 | PA      | $8466527.47    | 0.15%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1912.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $227928.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8838 FN 08/48 FIXED 4                       | CUSIP: 3140HNZC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2424083 | PA      | $2343581.66    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A          | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126181 | PA      | $118610.60     | 0.00%             | 2042-06-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257536 FN 01/29 FIXED 5                       | CUSIP: 31371PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        779 | PA      | $784.25        | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82075 | PA      | $84562.05      | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $10312.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-12016.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-296.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-2A                         | GLS AUTO RECEIVABLES TRUST GCAR 2025 2A A2 144A         | CUSIP: 37989BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1300000 | PA      | $1302932.54    | 0.02%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A A 144A     | CUSIP: ACI2TS750<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1290847.45    | 0.02%             | 2034-10-15      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-OPT                                              | GSAMP TRUST GSAMP 2004 OPT M1                           | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     756702 | PA      | $733352.06     | 0.01%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 895323 FN 09/36 FIXED 6                       | CUSIP: 31410RVQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1533 | PA      | $1576.71       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $300.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-131080.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-92.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1         | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125990 | PA      | $124032.02     | 0.00%             | 2033-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $14905.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-28087.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD 2019-1A                                          | FLATIRON CLO LTD FLAT 2019 1A AR2 144A                  | CUSIP: 33883JAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     829178 | PA      | $830410.66     | 0.01%             | 2034-11-16      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-901.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FL          | CUSIP: 38383KDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3660959 | PA      | $3695305.91    | 0.06%             | 2073-05-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-38369.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841978 FN 03/35 FLOATING VAR                  | CUSIP: 31407VM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35625 | PA      | $35136.62      | 0.00%             | 2035-03-01      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                            | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A       | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3477663.35    | 0.06%             | 2038-05-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALTERNATIVE LOAN TRUST 2003-8                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2003 8 1CB1         | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1489058 | PA      | $1504252.12    | 0.03%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/28 6.8         | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $207747.22     | 0.00%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                   | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838580 | PA      | $458534.30     | 0.01%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H30                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H30 GA          | CUSIP: 38375BA77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57805 | PA      | $57746.96      | 0.00%             | 2062-12-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHOA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  383000000 | NC      | $339452.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV1252 FN 04/52 FIXED 3                       | CUSIP: 3140MEMA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1176049 | PA      | $1035414.51    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-1                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 1 M1            | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242761 | PA      | $248753.29     | 0.00%             | 2034-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                  | ABN AMRO BANK NV 144A 01/27 4.718                       | CUSIP: 00084DBG4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   17900000 | PA      | $18054256.11   | 0.31%             | 2027-01-22      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-483585.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0130 FN 07/29 FIXED 5                       | CUSIP: 31417YEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1817 | PA      | $1836.58       | 0.00%             | 2029-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-72906.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW8088 FN 09/52 FIXED 5                       | CUSIP: 3140N07A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227688 | PA      | $227018.29     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8299 FR 02/53 FIXED 5               | CUSIP: 3132DWGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1132926 | PA      | $1129475.55    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3600000 | NC      | $-480.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008818 G2 02/26 FLOATING VAR               | CUSIP: 36202KYP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        650 | PA      | $649.10        | 0.00%             | 2026-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR              | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   19100000 | PA      | $19177752.28   | 0.33%             | 2027-09-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAHFA6 PIMCO SWAPTION 3.757 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  328500000 | NC      | $291149.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                            | APIDOS CLO LTD APID 2012 11A AR4 144A                   | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001488.78    | 0.02%             | 2034-04-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $22.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256086 FN 12/25 FIXED 5                       | CUSIP: 31371MNB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1974 | PA      | $1968.89       | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND OPTION  NOV25C 130.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -42 | NC      | $-4437.91      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21444.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-160872.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                          | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P A 144A     | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10200000 | PA      | $10128126.72   | 0.17%             | 2034-09-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB5440 FN 05/54 FIXED 5                       | CUSIP: 3140AFBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     419600 | PA      | $416778.01     | 0.01%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW9008 FN 10/52 FIXED 5                       | CUSIP: 3140N2AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400768 | PA      | $399252.83     | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST-11                                                | MID STATE TRUST MDST 11 A1                              | CUSIP: 59549WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30453 | PA      | $30421.44      | 0.00%             | 2038-07-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/25 0.65                            | CUSIP: 3134GW5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   62200000 | PA      | $62051388.65   | 1.07%             | 2025-10-27      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $87.34         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                      | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1220000 | PA      | $1211368.74    | 0.02%             | 2036-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3968 FN 12/26 FIXED 3                       | CUSIP: 31417AMS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1483565 | PA      | $1471611.17    | 0.03%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 817229 FN 06/35 FLOATING VAR                  | CUSIP: 31406Q4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73994 | PA      | $75484.56      | 0.00%             | 2035-06-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4116                                           | FREDDIE MAC FHR 4116 EA                                 | CUSIP: 3137AVL96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1224838 | PA      | $1196338.96    | 0.02%             | 2027-10-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE3614 FN 05/47 FIXED 3.5                     | CUSIP: 3140FPAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4498221 | PA      | $4208056.95    | 0.07%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                 | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12958798 | PA      | $12689046.87   | 0.22%             | 2036-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H09 FB          | CUSIP: 38376RTJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1196553 | PA      | $1200869.20    | 0.02%             | 2066-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                         | ROMARK CLO LTD RMRK 2021 4A A1R 144A                    | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1200000.00    | 0.02%             | 2034-07-10      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2324116.50   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QE8561 FR 08/52 FIXED 5               | CUSIP: 3133BJQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246175 | PA      | $244895.14     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-60                                                | FANNIE MAE FNR 2002 60 F1                               | CUSIP: 31392EVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2646 | PA      | $2640.09       | 0.00%             | 2032-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BOBL FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         34 | NC      | $1300.90       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008847 G2 04/26 FLOATING VAR               | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $169.23        | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                 | GPMT LTD. GPMT 2021 FL3 A 144A                          | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3130307 | PA      | $3124031.91    | 0.05%             | 2035-07-16      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                 | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80911 | PA      | $77027.76      | 0.00%             | 2034-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-22                                                | FANNIE MAE FNR 2002 22 ZA                               | CUSIP: 31392CDG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203938 | PA      | $212877.09     | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A        | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A   | CUSIP: ACI1XGH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      79193 | PA      | $93029.86      | 0.00%             | 2031-11-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B3413 FH 05/37 FLOATING VAR          | CUSIP: 3128JNVF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6440 | PA      | $6628.45       | 0.00%             | 2037-05-01      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 060680 FN 02/28 FLOATING VAR                  | CUSIP: 31362GM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $92.43         | 0.00%             | 2028-02-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF8169 FR 02/53 FIXED 5               | CUSIP: 3133BWCE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1093200 | PA      | $1089813.69    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-40036.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1753.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $669207.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3277 FN 04/52 FIXED 3                       | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26448923 | PA      | $23293838.80   | 0.40%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                            | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE A 144A      | CUSIP: 36258BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258188 | PA      | $257964.61     | 0.00%             | 2036-12-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-171043.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2699 FN 08/52 FIXED VAR                     | CUSIP: 3140XH7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     310119 | PA      | $309130.51     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25P 111.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -118 | NC      | $-23968.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-4                               | THORNBURG MORTGAGE SECURITIES TMST 2005 4 A1            | CUSIP: 885220JN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     385193 | PA      | $345138.16     | 0.01%             | 2045-12-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AN1346 FN 04/26 FIXED 2.77                    | CUSIP: 3138LDP80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1992238 | PA      | $1975670.29    | 0.03%             | 2026-04-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -59 | NC      | $-13161.11     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256866 FN 08/27 FIXED 5                       | CUSIP: 31371NJK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        119 | PA      | $118.92        | 0.00%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $24.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-87149.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080076 G2 05/27 FLOATING VAR               | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1691 | PA      | $1694.86       | 0.00%             | 2027-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                               | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M1           | CUSIP: 86358ELZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67188 | PA      | $64435.35      | 0.00%             | 2034-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841772 FN 09/35 FLOATING VAR                  | CUSIP: 31407VFM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79709 | PA      | $81013.13      | 0.00%             | 2035-09-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H20 JF          | CUSIP: 38383K2U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     968796 | PA      | $966720.67     | 0.02%             | 2074-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1         | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39833 | PA      | $38704.06      | 0.00%             | 2036-10-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                           | BPCE SA 144A 10/27 VAR                                  | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   20200000 | PA      | $20662068.74   | 0.35%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 912134 FN 03/32 FIXED 6                       | CUSIP: 31411NLP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19169 | PA      | $19577.68      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 1A1       | CUSIP: 92922F8K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55340 | PA      | $53342.23      | 0.00%             | 2036-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 834681 FN 10/35 FLOATING VAR                  | CUSIP: 31407MJ22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109667 | PA      | $111893.15     | 0.00%             | 2035-10-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1675.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE 36 CLO LTD                                                | VENTURE CDO LTD VENTR 2019 36A A1AR 144A                | CUSIP: 92332LAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13198880 | PA      | $13230264.58   | 0.23%             | 2032-04-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                          | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                 | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $701009.35     | 0.01%             | 2034-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 253516 FN 11/30 FIXED 8                       | CUSIP: 31371JSD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        816 | PA      | $852.51        | 0.00%             | 2030-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544860 FN 09/34 FLOATING VAR                  | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1453 | PA      | $1441.05       | 0.00%             | 2034-09-01      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABEA0 PIMCO SWAPTION 3.807 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-504.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-18023.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-264.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080059 G2 04/27 FLOATING VAR               | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $143.94        | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A       | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     227739 | PA      | $228437.14     | 0.00%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                          | NATIONAL FOOTBAL LEAGUE 4.5YR                           | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1229277.58    | 0.02%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                            | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001643.50    | 0.02%             | 2034-10-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-11324.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-240.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A1A               | CUSIP: 669884AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     611230 | PA      | $606473.26     | 0.01%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                    | VENTURE CDO LTD VENTR 2017 27A AR 144A                  | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1149773 | PA      | $1150404.15    | 0.02%             | 2030-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC 2024-1A                                 | CHESAPEAKE FUNDING II LLC CFII 2024 1A A1 144A          | CUSIP: 165183DE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     704211 | PA      | $713303.73     | 0.01%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-136969.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2021-STAR                       | GS MORTGAGE SECURITIES TRUST GSMS 2021 STAR A 144A      | CUSIP: 36264LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19146000 | PA      | $19058510.44   | 0.33%             | 2036-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                    | AUTONATION, INC                                         | CUSIP: 05330LX81<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4050000 | PA      | $4045717.53    | 0.07%             | 2025-10-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A      | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11331216 | PA      | $11090349.30   | 0.19%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-152.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $2.20          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANYON CAPITAL CLO 2019-2 LTD                                     | CANYON CAPITAL CLO LTD CANYC 2019 2A AR2 144A           | CUSIP: 13887WAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000701.08    | 0.02%             | 2034-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080493 G2 02/31 FLOATING VAR               | CUSIP: 36225CRP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2577 | PA      | $2595.25       | 0.00%             | 2031-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-525.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2241                                                  | FREDDIE MAC FHR 2241 PH                                 | CUSIP: 3133TPF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13089 | PA      | $13664.06      | 0.00%             | 2030-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 981307 FN 06/38 FIXED 6                       | CUSIP: 31415AU82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26407 | PA      | $27467.50      | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-531972.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $454.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10729.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 904568 FN 11/36 FIXED 6                       | CUSIP: 31411C6D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1645 | PA      | $1701.31       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22725.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4039                                           | FREDDIE MAC FHR 4039 QI                                 | CUSIP: 3137AQQL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700724 | PA      | $10259.10      | 0.00%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                    | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                 | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1199889.31    | 0.02%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $554.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                          | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                 | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $902072.20     | 0.02%             | 2034-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                               | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     806952 | PA      | $782227.56     | 0.01%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 966879 FN 12/37 FIXED 6                       | CUSIP: 31414HUC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41406 | PA      | $42814.68      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                    | LCM LTD PARTNERSHIP LCM 35A A1R 144A                    | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001166.17    | 0.02%             | 2034-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 986946 FN 09/38 FIXED 6                       | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        475 | PA      | $494.67        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV0958 FN 09/52 FIXED 5                       | CUSIP: 3140MEB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46835 | PA      | $46597.96      | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1103.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                      | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                    | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     460682 | PA      | $462903.57     | 0.01%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX6392 FN 02/53 FIXED 5                       | CUSIP: 3140NBC66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1197080 | PA      | $1193711.29    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A      | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8450580 | PA      | $8689935.88    | 0.15%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.65000 08/14/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-37645.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 725689 FN 08/34 FIXED VAR                     | CUSIP: 31402DF62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        211 | PA      | $219.70        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                            | CUSIP: 22823PX73<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    5050000 | PA      | $5045473.18    | 0.09%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3145.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $327.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ9169 FN 05/48 FIXED 4                       | CUSIP: 3140HBFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $691.96        | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         14 | NC      | $12476.45      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H21 FA          | CUSIP: 38383KEA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13003899 | PA      | $13103519.72   | 0.23%             | 2073-09-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3438286 | PA      | $3212690.64    | 0.06%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 01/28 1.8     | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $189171.91     | 0.00%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-H21                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 H21 FA          | CUSIP: 38375UQC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3620932 | PA      | $3624033.77    | 0.06%             | 2064-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080408 G2 05/30 FLOATING VAR               | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5760 | PA      | $5765.50       | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-165.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 941341 FN 08/37 FIXED 6                       | CUSIP: 31413CHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44507 | PA      | $46478.74      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797RZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  151300000 | PA      | $149848067.71  | 2.57%             | 2025-12-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-55306.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7761 FN 01/54 FIXED 5                       | CUSIP: 3140QTTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     912973 | PA      | $908991.63     | 0.02%             | 2054-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0694 FN 11/47 FIXED 3.5                     | CUSIP: 3140Q7XY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35459004 | PA      | $32787228.94   | 0.56%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $292.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPIRE INC                                                         | SPIRE INC 03/26 5.3                                     | CUSIP: 84857LAC5<br>LEI: 549300NXSY15DRY2R511 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1506550.05    | 0.03%             | 2026-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-51763.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835058 FN 06/35 FLOATING VAR                  | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22155 | PA      | $22577.85      | 0.00%             | 2035-06-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      61000 | PA      | $60236.21      | 0.00%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                | CANADIAN NATURAL RESOU                                  | CUSIP: 13638WXN7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | US        |    6050000 | PA      | $6033325.60    | 0.10%             | 2025-10-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 535597 FN 10/30 FIXED VAR                     | CUSIP: 31384V7J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        456 | PA      | $459.51        | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735754 FN 07/35 FLOATING VAR                  | CUSIP: 31402RMB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96322 | PA      | $97583.74      | 0.00%             | 2035-07-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-26747.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF          | CUSIP: 38383KFR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4321037 | PA      | $4364887.72    | 0.07%             | 2073-09-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2005-7                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 7 7A5           | CUSIP: 61748HPQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831875 | PA      | $762780.45     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                 | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A            | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     462049 | PA      | $462576.20     | 0.01%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                          | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF A 144A     | CUSIP: 61691KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4455615 | PA      | $4417029.79    | 0.08%             | 2034-11-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA7                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA7 2A1       | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93763 | PA      | $83246.09      | 0.00%             | 2035-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-3                               | THORNBURG MORTGAGE SECURITIES TMST 2005 3 A1            | CUSIP: 885220HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     549410 | PA      | $589822.38     | 0.01%             | 2045-10-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -176500000 | PA      | $-161229595.95 | -2.77%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-39                                         | FANNIE MAE FNR 2013 39 MI                               | CUSIP: 3136AEEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1173999 | PA      | $26205.77      | 0.00%             | 2028-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3984                                           | FREDDIE MAC FHR 3984 DF                                 | CUSIP: 3137AKEE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9134 | PA      | $9083.46       | 0.00%             | 2042-01-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/27 4.7              | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1104515.38    | 0.02%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $737.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HEQ LN 2001-HE2                             | ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1        | CUSIP: 04541GBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3828 | PA      | $3780.78       | 0.00%             | 2031-06-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2576.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $5499.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735207 FN 04/34 FIXED VAR                     | CUSIP: 31402QYC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5445 | PA      | $5642.02       | 0.00%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2174                                                  | FREDDIE MAC FHR 2174 PN                                 | CUSIP: 3133TLMU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6662 | PA      | $6752.59       | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A          | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1101028.02    | 0.02%             | 2034-08-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                             | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A               | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2400000 | PA      | $2403702.05    | 0.04%             | 2035-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                          | NATIONAL FOOTBAL LEAGUE 4.5YR                           | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1233961.14    | 0.02%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8356 FN 07/34 FIXED VAR                     | CUSIP: 3138ETJA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23126 | PA      | $23207.32      | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-92611.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $2228.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF          | CUSIP: 38382YV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9372765 | PA      | $9361685.37    | 0.16%             | 2072-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KBX1 | FHLMC MULTIFAMILY STRUCTURED P FHMS KBX1 A2             | CUSIP: 3137F4CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1681929 | PA      | $1671960.69    | 0.03%             | 2026-01-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG0977 FR 04/53 FIXED 5               | CUSIP: 3133C1CN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     995131 | PA      | $989555.75     | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5478                                           | FREDDIE MAC FHR 5478 FB                                 | CUSIP: 3137HHS93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38532764 | PA      | $38774858.15   | 0.67%             | 2054-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-2.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-2                 | BEAR STEARNS ASSET BACKED SECU BSABS 2003 2 M1          | CUSIP: 07384YJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666154 | PA      | $654865.84     | 0.01%             | 2043-03-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88000 07/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24001.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR FUT OPTN  NOV25C 114 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -118 | NC      | $-16241.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOUTH AFRICA EM SP BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $286307.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3278 FN 04/52 FIXED 3                       | CUSIP: 3140QNUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28935590 | PA      | $25468371.10   | 0.44%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A         | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18807 | PA      | $17301.51      | 0.00%             | 2046-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                 | EVERSOURCE ENERGY                                       | CUSIP: 30040XX76<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249786.10     | 0.00%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3341.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H08                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H08 KF          | CUSIP: 38380LEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     185933 | PA      | $185475.32     | 0.00%             | 2068-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                        | SCULPTOR CLO LTD SCUL 27A A1R 144A                      | CUSIP: 81124UAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $800360.00     | 0.01%             | 2034-07-20      | Floating      | 5.39%                 | 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      | $2679.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 654952 FN 07/42 FLOATING VAR                  | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3101 | PA      | $3094.35       | 0.00%             | 2042-07-01      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                           | FREDDIE MAC FHR 5564 FB                                 | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3963073 | PA      | $3983710.02    | 0.07%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA          | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4253767 | PA      | $4276814.35    | 0.07%             | 2073-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2800 FH 03/35 FLOATING VAR          | CUSIP: 3128JNAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69084 | PA      | $70493.70      | 0.00%             | 2035-03-01      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                   | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A    | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1302535.00    | 0.02%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2       | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327964 | PA      | $133082.82     | 0.00%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 309                                            | FREDDIEMAC STRIP FHS 309 S6                             | CUSIP: 31325USH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14980628 | PA      | $1621423.48    | 0.03%             | 2043-08-15      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                        | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A               | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1700229.76    | 0.03%             | 2034-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                | ORACLE CORPORATION 01/26 ZCP                            | CUSIP: 6840C3AG8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3358030.40    | 0.06%             | 2026-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256713 FN 05/27 FIXED 5                       | CUSIP: 31371NDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4038 | PA      | $4043.29       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5569                                           | FREDDIE MAC FHR 5569 FB                                 | CUSIP: 3137HMMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54913107 | PA      | $55021312.94   | 0.94%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668556 FN 12/32 FIXED 6                       | CUSIP: 31391JWR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $849.93        | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1         | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3961 | PA      | $3800.31       | 0.00%             | 2034-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 05/29 VAR             | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15188667.30   | 0.26%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3439                                                  | FREDDIE MAC FHR 3439 FN                                 | CUSIP: 31397TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16489 | PA      | $16323.49      | 0.00%             | 2037-02-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 901486 FN 11/36 FIXED 6                       | CUSIP: 31410YRF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        447 | PA      | $461.78        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008968 G2 09/26 FLOATING VAR               | CUSIP: 36202K6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $92.44         | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2190707.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                      | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                    | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16094 | PA      | $16063.18      | 0.00%             | 2044-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1105.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                  | ARES CLO LTD ARES 2022 65A A1R 144A                     | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $501750.00     | 0.01%             | 2034-07-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 10/28 5.65             | CUSIP: 842400HY2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103199.36     | 0.00%             | 2028-10-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     782759 | PA      | $716793.75     | 0.01%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-35                                                | FANNIE MAE FNR 2003 35 UN                               | CUSIP: 31393BM69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77059 | PA      | $76818.22      | 0.00%             | 2033-05-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $54.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544861 FN 12/36 FLOATING VAR                  | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1515 | PA      | $1502.37       | 0.00%             | 2036-12-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                            | MORGAN STANLEY BANK NA MORGAN STANLEY BANK NA           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |     800000 | PA      | $811981.79     | 0.01%             | 2028-07-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A          | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1702000.48    | 0.03%             | 2036-10-14      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/27 4.9        | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $3404187.02    | 0.06%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2861926.59    | 0.05%             | 2028-04-22      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 332                                            | FREDDIEMAC STRIP FHS 332 V1                             | CUSIP: 3132HUCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3962344 | PA      | $4153386.59    | 0.07%             | 2044-08-15      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ8540 FN 01/27 FIXED 3                       | CUSIP: 3138E1P27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233511 | PA      | $231281.20     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37696.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                               | TIKEHAU TIKEH 5A AR 144A                                | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2500000 | PA      | $2932215.30    | 0.05%             | 2038-10-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFFA0 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-557.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2700000 | PA      | $-2371986.91   | -0.04%            | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2972.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                  | ROMARK CLO LTD RMRK 2021 5A AR 144A                     | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1505810.07    | 0.03%             | 2035-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3000 FN 05/31 FIXED 4.5                     | CUSIP: 31416YKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23302 | PA      | $23462.39      | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA9TA9 PIMCO SWAPTION 2.85 PUT EUR 20251002          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-2.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXP3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   15100000 | PA      | $15055365.91   | 0.26%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA/NEW YORK BRANCH                          | COOPERAT RABOBANK UA/NY 08/26 VAR                       | CUSIP: 21688ABG6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    6800000 | PA      | $6817786.22    | 0.12%             | 2026-08-28      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $29.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                    | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                 | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162745 | PA      | $75334.65      | 0.00%             | 2037-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8865 FN 02/35 FIXED VAR                     | CUSIP: 3140XQZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1279024 | PA      | $1238481.82    | 0.02%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $50562.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                               | COMMONSPIRIT HEALTH SR SECURED 10/25 1.547              | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   15500000 | PA      | $15500000.00   | 0.27%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $25.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-174763.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23100 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $28696.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC COMPANY GUAR 144A 08/28 5.05         | CUSIP: 05565ECE3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    9996000 | PA      | $10241332.43   | 0.18%             | 2028-08-11      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254144 FN 11/31 FIXED 8                       | CUSIP: 31371KHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1120 | PA      | $1125.73       | 0.00%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799940 FN 11/34 FLOATING VAR                  | CUSIP: 31405UV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52505 | PA      | $53030.36      | 0.00%             | 2034-11-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-114                                        | FANNIE MAE FNR 2012 114 SB                              | CUSIP: 3136A9LP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7733163 | PA      | $885221.36     | 0.02%             | 2042-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                    | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1900024.05    | 0.03%             | 2034-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                            | CUSIP: 22823PXM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    4950000 | PA      | $4936659.75    | 0.08%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5400000 | NC      | $-1980.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR3 2A5        | CUSIP: 25150VAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5496058 | PA      | $4865290.13    | 0.08%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                  | FIRSTENERGY CORP SR UNSECURED 07/27 4.15                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298233.58     | 0.01%             | 2027-07-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0860 FN 12/47 FIXED 3.5                     | CUSIP: 3140Q75W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30607931 | PA      | $28258998.90   | 0.49%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1999-1                                  | STRUCTURED ASSET MORTGAGE INVE SAMI 1999 1 2A           | CUSIP: 86358HGW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30702 | PA      | $29963.02      | 0.00%             | 2029-06-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35             | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4919679.92    | 0.08%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $3712.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                        | HARDWOOD FUNDING LLC CORP0HRD7                          | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1519502.57    | 0.03%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4918 FN 02/53 FIXED 5                       | CUSIP: 31418EPC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1068874 | PA      | $1065673.81    | 0.02%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1150.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1         | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1223138 | PA      | $866985.16     | 0.01%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2473.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008911 G2 07/26 FLOATING VAR               | CUSIP: 36202K3U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $173.83        | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8344 FN 06/49 FIXED VAR                     | CUSIP: 3140XQHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1735934 | PA      | $1669522.08    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-28450.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2052 | PA      | $2068.73       | 0.00%             | 2033-02-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4978 FN 04/53 FIXED 5                       | CUSIP: 31418EQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49514124 | PA      | $49360760.36   | 0.85%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                       | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS              | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     550422 | PA      | $638816.30     | 0.01%             | 2050-12-15      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-11286.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                              | TARGA RES CORP 10/25 ZCP                                | CUSIP: 87613EXH3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3392459.48    | 0.06%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                             | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                     | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4900000 | PA      | $5767902.30    | 0.10%             | 2037-01-20      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QF6790 FR 01/53 FIXED 5               | CUSIP: 3133BURK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1193404 | PA      | $1190015.27    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                               | SAXON ASSET SECURITIES TRUST SAST 2004 1 M1             | CUSIP: 805564PN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149923 | PA      | $132935.77     | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-315.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                         | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A            | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4974821 | PA      | $5846629.63    | 0.10%             | 2032-07-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.52500 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1244.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-7818.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A      | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   19309324 | PA      | $19315554.31   | 0.33%             | 2037-06-19      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $21996.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126781 | PA      | $127998.61     | 0.00%             | 2035-09-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| DATABANK ISSUER II LLC 2025-1A                                    | DATABANK ISSUER II, LLC HYPER 2025 1A A2 144A           | CUSIP: 23802YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4800000 | PA      | $4813715.52    | 0.08%             | 2055-09-27      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7197 FN 07/53 FIXED 5.5                     | CUSIP: 3140QS7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5093745 | PA      | $5158508.06    | 0.09%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34123 | PA      | $12991.29      | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-87830.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-434623.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6069.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-42056.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                                  | FREDDIE MAC FHR 2266 F                                  | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $13.98         | 0.00%             | 2030-11-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-165.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 04/29 VAR            | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   16300000 | PA      | $16612678.83   | 0.29%             | 2029-04-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   62600000 | PA      | $62600000.00   | 1.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8314 FR 04/53 FIXED 4.5             | CUSIP: 3132DWGX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     383409 | PA      | $373508.05     | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7396 FN 04/53 FIXED 4                       | CUSIP: 3140QTGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80074 | PA      | $75628.83      | 0.00%             | 2053-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                  | ABN AMRO BANK NV 144A 10/26 VAR                         | CUSIP: 00084DBC3<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    5400000 | PA      | $5403211.43    | 0.09%             | 2026-10-13      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $3311.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  474400000 | PA      | $484585600.46  | 8.32%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL BUSINESS MACHINES CORPORATION (IBM)                 | IBM CORP SR UNSECURED 02/28 4.65                        | CUSIP: 459200LF6<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   13300000 | PA      | $13493547.98   | 0.23%             | 2028-02-10      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-29                                                | FANNIE MAE FNR 2001 29 Z                                | CUSIP: 313920GP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127745 | PA      | $131163.61     | 0.00%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PAYMENTS INC SR UNSECURED 03/26 1.2              | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3256833.49    | 0.06%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835288 FN 09/35 FIXED 5                       | CUSIP: 31407M6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62539 | PA      | $64154.97      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2049191.24    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-22.57        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA9UA7 PIMCO SWAPTION 2.61 CALL EUR 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-207.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 1211 AVENUE OF THE AMERICAS TRUST 2015-1211                       | 1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A2 144A | CUSIP: 90117PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6950000 | PA      | $6713265.63    | 0.12%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                              | GENERAL MOTORS FINL CO SR UNSECURED 04/28 2.4           | CUSIP: 37045XDH6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     350000 | PA      | $333988.63     | 0.01%             | 2028-04-10      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                           | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7110887 | PA      | $7148274.74    | 0.12%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $169604.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                          | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1           | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     510208 | PA      | $511569.72     | 0.01%             | 2038-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                             | CRSNT TRUST CRSNT 2021 MOON A 144A                      | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25400000 | PA      | $25232662.26   | 0.43%             | 2036-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                     | COMM MORTGAGE TRUST COMM 2019 521F A 144A               | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3400000 | PA      | $3292475.00    | 0.06%             | 2034-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/26 VAR            | CUSIP: 04685A4J7<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   16500000 | PA      | $16540554.86   | 0.28%             | 2026-07-16      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008830 G2 03/26 FLOATING VAR               | CUSIP: 36202KY33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        519 | PA      | $518.61        | 0.00%             | 2026-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161295 | PA      | $157845.10     | 0.00%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080484 G2 01/31 FLOATING VAR               | CUSIP: 36225CRE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1199 | PA      | $1207.09       | 0.00%             | 2031-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $11758.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8702 FN 07/48 FIXED 4                       | CUSIP: 3140HNU42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1277627 | PA      | $1227442.75    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-300958.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-677391.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5560                                           | FREDDIE MAC FHR 5560 FB                                 | CUSIP: 3137HLZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7699620 | PA      | $7744037.81    | 0.13%             | 2055-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/18/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $812665.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 5A          | CUSIP: 61748HBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40218 | PA      | $37635.81      | 0.00%             | 2034-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555417 FN 05/33 FIXED VAR                     | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        751 | PA      | $776.54        | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS SWITZERLAND AG                                                | CREDIT SUISSE SCHWEIZ AG COVERED REGS 12/25 3.39        | CUSIP: ACI2BKFD0<br>LEI: 549300WOIFUSNYH0FL22 | Long             | DBT              | CORP              | CH        |    8200000 | PA      | $9646035.20    | 0.17%             | 2025-12-05      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                | FANNIE MAE FNR 2007 65 KF                               | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     352154 | PA      | $348962.07     | 0.01%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $679.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2724 FN 08/46 FIXED 4.5                     | CUSIP: 31418CA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7375 | PA      | $7323.52       | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                        | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A  | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1702974.32    | 0.03%             | 2035-01-20      | Floating      | 5.37%                 | 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        |   20837815 | PA      | $17953103.05   | 0.31%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4024                                           | FREDDIE MAC FHR 4024 IO                                 | CUSIP: 3137ANKV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484134 | PA      | $7021.97       | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-CB1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 CB1 6A         | CUSIP: 92922FRL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316429 | PA      | $327074.33     | 0.01%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                              | EDISON INTERNATIONAL                                    | CUSIP: 28103AX90<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     350000 | PA      | $349619.17     | 0.01%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-52                                         | FANNIE MAE FNR 2025 52 FB                               | CUSIP: 3136BWUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6320001 | PA      | $6354768.23    | 0.11%             | 2055-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1234.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOUTH AFRICA EM SP CBK                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $69316.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                | FANNIE MAE FNR 2007 14 F                                | CUSIP: 31396PZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13563 | PA      | $13385.69      | 0.00%             | 2037-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL9109 FN 01/34 FIXED VAR                     | CUSIP: 3138ERDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2270 | PA      | $2276.28       | 0.00%             | 2034-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1Q0196 FH 02/37 FLOATING VAR          | CUSIP: 3128S4GD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1389 | PA      | $1439.30       | 0.00%             | 2037-02-01      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-135                                               | FANNIE MAE FNR 2010 135 LF                              | CUSIP: 31398SD83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6194 | PA      | $6164.48       | 0.00%             | 2040-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 323919 FN 08/29 FLOATING VAR                  | CUSIP: 31374TYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26055 | PA      | $26223.77      | 0.00%             | 2029-08-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM2003 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209703 | PA      | $201727.89     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 LF          | CUSIP: 38380LC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11949072 | PA      | $11954893.88   | 0.21%             | 2069-08-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 783403 FN 11/34 FIXED 6.5                     | CUSIP: 31405AKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66231 | PA      | $69889.99      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-627.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0603 FN 11/25 FIXED 4.5                     | CUSIP: 31417YU54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        211 | PA      | $209.98        | 0.00%             | 2025-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A4             | CUSIP: 61755CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2659075 | PA      | $2420264.26    | 0.04%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-57.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545993 FN 11/32 FIXED VAR                     | CUSIP: 31385JRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $331.54        | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-65                                                | FANNIE MAE FNR 2004 65 YA                               | CUSIP: 31394AQD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     250187 | PA      | $252070.33     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1255547 | PA      | $621606.45     | 0.01%             | 2036-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-1                                                 | FANNIE MAE FNR 2010 1 FT                                | CUSIP: 31398GM97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107954 | PA      | $108581.58     | 0.00%             | 2040-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-127624.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1         | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1198498 | PA      | $892451.17     | 0.02%             | 2035-07-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| READYCAP COMMERCIAL MORTGAGE TRUST 2021-FL7                       | READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL7 A 144A     | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     477898 | PA      | $477950.25     | 0.01%             | 2036-11-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 899862 FN 11/37 FIXED 6.5                     | CUSIP: 31410WWX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $360.87        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR2                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR2 1A2        | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     438533 | PA      | $430349.82     | 0.01%             | 2036-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $8640.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080285 G2 05/29 FLOATING VAR               | CUSIP: 36225CJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $23.13         | 0.00%             | 2029-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3479873.68    | 0.06%             | 2028-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $61.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2645 FN 01/27 FIXED VAR                     | CUSIP: 3138EJ5F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.71          | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -4674 | NC      | $-5633723.84   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $12914.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906073 FN 01/37 FIXED 6                       | CUSIP: 31411ET64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1516 | PA      | $1563.00       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2A                 | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 2A A2 144A    | CUSIP: 78397XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     178569 | PA      | $178778.86     | 0.00%             | 2027-10-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                 | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1        | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28077 | PA      | $9988.67       | 0.00%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080046 G2 02/27 FLOATING VAR               | CUSIP: 36225CBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29650 | PA      | $29595.03      | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                                              | ADNOC MURBAN RSC LTD ADNOC MURBAN RSC LTD               | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |   14700000 | PA      | $14784068.71   | 0.25%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 06/26 4.125                             | CUSIP: 91282CHH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50000000 | PA      | $50119475.00   | 0.86%             | 2026-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $3344.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.51400 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17678.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 03/28 3.65             | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     700000 | PA      | $688077.84     | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-H16                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H16 FG          | CUSIP: 38382YGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1040124 | PA      | $1030808.00    | 0.02%             | 2071-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735503 FN 04/35 FIXED VAR                     | CUSIP: 31402RDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        646 | PA      | $674.89        | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR              | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2632186.26    | 0.05%             | 2027-09-22      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3242 FN 04/52 FIXED 3                       | CUSIP: 3140QNS86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   39935070 | PA      | $35147600.16   | 0.60%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $12849.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-37                                                | FANNIE MAE FNR 2004 37 FB                               | CUSIP: 31393YM51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23804 | PA      | $23419.66      | 0.00%             | 2034-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 559821 FN 11/39 FLOATING VAR                  | CUSIP: 31386C4E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35365 | PA      | $35523.54      | 0.00%             | 2039-11-01      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 1A1              | CUSIP: 46630PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97981 | PA      | $51237.44      | 0.00%             | 2037-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                          | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5640 | PA      | $5538.36       | 0.00%             | 2033-06-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A     | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1700000 | PA      | $1706267.42    | 0.03%             | 2035-07-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                 | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A           | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1391962.74    | 0.02%             | 2032-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-16005.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD9434 FR 03/52 FIXED 3               | CUSIP: 3133B7PT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2321259 | PA      | $2044947.94    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A      | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2143355 | PA      | $2201956.85    | 0.04%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                    | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                 | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1199992.70    | 0.02%             | 2035-10-23      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-676.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -5300000 | NC      | $-1285.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QD8806 FR 03/52 FIXED 3               | CUSIP: 3133B6YB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3410583 | PA      | $3007772.88    | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                | BACARDI MARTINI B V                                     | CUSIP: 05634EX98<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299657.91     | 0.01%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3722.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $47794.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 536330 FN 04/30 FIXED 8                       | CUSIP: 31384WY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2103 | PA      | $2152.09       | 0.00%             | 2030-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                        | FANNIE MAE FNR 2012 146 QA                              | CUSIP: 3136ABFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     230043 | PA      | $200345.98     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3742.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $176813.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 905882 FN 12/36 FIXED 6                       | CUSIP: 31411EM79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36157 | PA      | $37408.46      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $13999.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                     | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 06/26 1.7    | CUSIP: 709599BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11100000 | PA      | $10896945.26   | 0.19%             | 2026-06-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1511.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-427932.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2100000 | NC      | $-76.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q46244 FG 02/47 FIXED 3.5             | CUSIP: 3132WK5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     662931 | PA      | $620788.65     | 0.01%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 06/28 4.9     | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3347808.42    | 0.06%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-800.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H16                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H16 FM          | CUSIP: 38376REA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     252892 | PA      | $252952.60     | 0.00%             | 2065-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                         | FANNIE MAE FNR 2025 18 FA                               | CUSIP: 3136BU7K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2889967 | PA      | $2902133.39    | 0.05%             | 2053-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 902974 FN 12/36 FIXED 6                       | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14989 | PA      | $15803.25      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 008947 G2 08/26 FLOATING VAR               | CUSIP: 36202K5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $843.36        | 0.00%             | 2026-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                         | CENTEX HOME EQUITY CXHE 2004 D MV1                      | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826975 | PA      | $822365.78     | 0.01%             | 2034-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2356341 | PA      | $2410470.02    | 0.04%             | 2058-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5376 FN 04/52 FIXED 3                       | CUSIP: 3140MJ6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  115024036 | PA      | $101246438.93  | 1.74%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2103                                                  | FREDDIE MAC FHR 2103 TE                                 | CUSIP: 3133THKP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        165 | PA      | $168.71        | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4         | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         52 | PA      | $51.50         | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-417.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1              | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     765271 | PA      | $677955.28     | 0.01%             | 2035-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735813 FN 07/35 FLOATING VAR                  | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53610 | PA      | $54694.42      | 0.00%             | 2035-07-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer