# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000529
**Filing Date:** 2025-8
**Character Count:** 292590
**Document Hash:** 9eaa21200e4d827e410e39c308be25b0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000529.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000529

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277437

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

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

## Series and Classes Contracts Data

### PIMCO Low Duration Portfolio (Series ID: S000009673)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026502 | Administrative | VPVLDDV         |
| C000026503 | Institutional  | VPVLDIV         |
| C000030990 | Advisor        | VPVLDVV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

- **b. EDGAR series identifier (if any):** S000009673

- **c. LEI of Series:** 2ZJ0UBWM576CNLD1YP86

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2037723744.84

**Total Liabilities:** $700933535.91

**Net Assets:** $1336790208.93

**Cash Not Reported:** $18949932.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 80610.420000 | **1-Year:** 69050.729300 | **5-Year:** 113063.879800 | **10-Year:** 11907.265600 | **30-Year:** 26.000100

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

- **3-Month:** 756.888600 | **1-Year:** 978.576900 | **5-Year:** 2481.547900 | **10-Year:** 2.321000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026502 | 0.65%                | -0.18%               | 0.73%                |
| Class ID C000030990 | 0.64%                | -0.19%               | 0.72%                |
| Class ID C000026503 | 0.66%                | -0.17%               | 0.74%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $710655.12               | $1402990.20                                |
| Month 2  | $707073.17               | $-3067174.92                               |
| Month 3  | $-654743.46              | $7577250.58                                |

**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                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4446.62     | -0.00%            |  |  |  | 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        |    5000000 | PA      | $4856740.00   | 0.36%             | 2043-10-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                      | MORGAN STANLEY SR UNSECURED 04/28 VAR                  | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1911327.48   | 0.14%             | 2028-04-13      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750QN05 PIMCO CDSOPT PUT USD 0.85 20250716           | CUSIP: OP0043Z50<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -1000000 | NC      | $-71.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $84.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030686<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -63100000 | PA      | $-54595297.45 | -4.08%            | 2055-08-13      | Fixed         | 3.00%                 | 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        |    8408706 | PA      | $7664122.41   | 0.57%             | 2047-11-01      | Fixed         | 3.50%                 | 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        |    1500000 | PA      | $1530492.74   | 0.11%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1974.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $8801.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL MA2273 G2 10/29 FIXED 3.5                 | CUSIP: 36179QQ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     729684 | PA      | $721746.36    | 0.05%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-23.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                        | ACE SECURITIES CORP. ACE 2004 HE4 M1                   | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     716731 | PA      | $648213.43    | 0.05%             | 2034-12-25      | Floating      | 5.33%                 | 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        |    7536959 | PA      | $6529959.93   | 0.49%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                               | HOLCIM FIN US LLC 07/25 ZCP                            | CUSIP: 43475FUF7<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249520.55    | 0.02%             | 2025-07-15      | None          | 0.00%                 | 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        |    3200000 | PA      | $3194448.42   | 0.24%             | 2028-04-28      | Fixed         | 4.12%                 | 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        |    1700000 | PA      | $1704552.16   | 0.13%             | 2026-08-28      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-260.34      | -0.00%            |  |  |  | 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        |     100000 | PA      | $100390.48    | 0.01%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MXN SOLD USD 20250917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1.65         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHE TARD INC 07/25 ZCP                 | CUSIP: 01626UU94<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     600000 | PA      | $599300.82    | 0.04%             | 2025-07-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                               | AIR LEASE CORP DISC COML PAPER 07/25 ZCP               | CUSIP: 00913WUF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     700000 | PA      | $698611.76    | 0.05%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20250710                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3190.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                  | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1             | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16453 | PA      | $16726.15     | 0.00%             | 2029-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                         | CITIBANK NA CITIBANK NA                                | CUSIP: 17325FBF4<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2519928.65   | 0.19%             | 2026-04-30      | Fixed         | 5.44%                 | 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        |     595491 | PA      | $590374.31    | 0.04%             | 2036-05-25      | Floating      | 4.75%                 | 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        |      25869 | PA      | $25220.35     | 0.00%             | 2034-02-25      | Floating      | 6.52%                 | 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      | $-827980.91   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-5435.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL7206 FN 08/45 FIXED VAR                    | CUSIP: 3138EQAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12176 | PA      | $11560.37     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | 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        |    3600000 | PA      | $3653789.44   | 0.27%             | 2027-05-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.68000 08/07/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-14304.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U6RTA4 PIMCO SWAPTION 3.75 CALL USD 2025080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  138100000 | NC      | $119801.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST 2025-1                                        | CCG RECEIVABLES TRUST CCG 2025 1 A2 144A               | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2700000 | PA      | $2707126.38   | 0.20%             | 2032-10-14      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9LGA8 PIMCO SWAPTION 4.097 PUT USD 2025071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-113.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRYKER CORPORATION                                                 | STRYKER CORP SR UNSECURED 09/29 4.25                   | CUSIP: 863667BE0<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299602.17    | 0.02%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                | VOYA CLO LTD VOYA 2017 1A A1R 144A                     | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     521465 | PA      | $521801.64    | 0.04%             | 2030-04-17      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                            | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1      | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43251 | PA      | $31023.33     | 0.00%             | 2035-08-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $19469.92     | 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        |       2226 | PA      | $2229.27      | 0.00%             | 2042-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-36.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9MNA8 PIMCO SWAPTION 3.955 PUT USD 2025072         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-593.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                    | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1              | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15225 | PA      | $15393.04     | 0.00%             | 2035-02-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2023-REV1                              | FORD CREDIT AUTO OWNER TRUST/F FORDR 2023 1 A 144A     | CUSIP: 34535QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1250000 | PA      | $1269122.50   | 0.09%             | 2035-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9JQA2 PIMCO SWAPTION 3.77 CALL USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-6393.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $223.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H16                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H16 FA         | CUSIP: 38375B4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205412 | PA      | $206054.06    | 0.02%             | 2063-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-36127.87    | -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        |    3896066 | PA      | $3827726.10   | 0.29%             | 2038-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9N2A9 PIMCO SWAPTION 3.564 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2289.24     | -0.00%            |  |  |  | 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        |    2311676 | PA      | $2335794.25   | 0.17%             | 2036-05-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $48.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9FUA5 PIMCO SWAPTION 3.7 CALL USD 20250630         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-1003.68     | -0.00%            |  |  |  | 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        |    3900000 | PA      | $3936104.95   | 0.29%             | 2027-01-22      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                        | DBGS MORTGAGE TRUST DBGS 2018 5BP A 144A               | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $2013112.50   | 0.15%             | 2033-06-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-7080.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $5368.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1        | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72304 | PA      | $69710.94     | 0.01%             | 2034-07-25      | Floating      | 5.86%                 | 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        |      31465 | PA      | $26304.08     | 0.00%             | 2036-02-25      | Floating      | 4.99%                 | 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        |    3000000 | PA      | $3065999.70   | 0.23%             | 2027-10-22      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AI2507 FN 05/26 FIXED 4.5                    | CUSIP: 3138AFYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $83.61        | 0.00%             | 2026-05-01      | 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        |    2412202 | PA      | $2415467.70   | 0.18%             | 2036-12-16      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BC9261 FN 04/46 FIXED 4                      | CUSIP: 3140F5JF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49604 | PA      | $46700.89     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | 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        |    1535554 | PA      | $1535726.31   | 0.11%             | 2039-06-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF9642 FR 03/53 FIXED 5              | CUSIP: 3133BXWB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     691040 | PA      | $679877.79    | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9MOA7 PIMCO SWAPTION 3.605 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-2352.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11249.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 692042 FN 02/33 FIXED 6                      | CUSIP: 31400MZF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        487 | PA      | $495.28       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-NC1                                  | STRUCTURED ASSET SECURITIES CO SASC 2006 NC1 A5        | CUSIP: 86360PAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2625586 | PA      | $2577576.38   | 0.19%             | 2036-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3101.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT NZD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $14413.26     | 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        |    4057632 | PA      | $4060444.55   | 0.30%             | 2037-06-19      | Floating      | 6.47%                 | 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        |    2859869 | PA      | $2860905.64   | 0.21%             | 2055-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-523883.37   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-28910.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5684.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL Q58083 FG 08/48 FIXED 4              | CUSIP: 3132Y16V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1605013 | PA      | $1521885.22   | 0.11%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2504.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORT CRE 2022-FL3                                                   | FORTRESS CBO INVESTMENTS LTD FORT 2022 FL3 A 144A      | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      50856 | PA      | $50081.79     | 0.00%             | 2039-02-23      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9FOA2 PIMCO SWAPTION 4.077 PUT USD 2025063         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-59596.87    | -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        |    1930000 | PA      | $1966448.19   | 0.15%             | 2028-08-11      | Fixed         | 5.05%                 | 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        |    3200000 | PA      | $3220738.85   | 0.24%             | 2029-05-09      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250718                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-568.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A1      | CUSIP: 939336X65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155239 | PA      | $153474.80    | 0.01%             | 2045-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-H11                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 H11 VA         | CUSIP: 38375UKC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1348695 | PA      | $1351679.51   | 0.10%             | 2064-06-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  AUG25C 112.7 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -30 | NC      | $-13125.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                       | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC      | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1915694.11   | 0.14%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD MXN BOUGHT USD 20250917                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2087.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $211.27       | 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        |        199 | PA      | $192.91       | 0.00%             | 2032-09-19      | Floating      | 5.09%                 | 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        |        508 | PA      | $506.26       | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | 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        |    2900000 | PA      | $2888546.51   | 0.22%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9GEA1 PIMCO SWAPTION 4.075 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-0.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9HNA9 PIMCO SWAPTION 3.669 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1988.76     | -0.00%            |  |  |  | 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      | $-10738.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1        | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45438 | PA      | $42390.01     | 0.00%             | 2034-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16400000 | PA      | $16063956.46  | 1.20%             | 2054-08-15      | Fixed         | 5.00%                 | 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      | $1408399.99   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 05/32 2.875                            | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $1959808.60   | 0.15%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.46000 03/13/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1291.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-6437.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U6RVA1 PIMCO SWAPTION 2.75 CALL USD 2025080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -138100000 | NC      | $-2292.46     | -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        |    3758016 | PA      | $3705321.33   | 0.28%             | 2029-04-10      | Fixed         | 2.82%                 | 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        |      67082 | PA      | $65160.34     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                               | CROWN CASTLE                                           | CUSIP: 22823PUN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2691745.56   | 0.20%             | 2025-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                              | NXP BV NXP FDG NXP USA DISC CO                         | CUSIP: 67122RU18<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     550000 | PA      | $549929.77    | 0.04%             | 2025-07-01      | None          | 0.00%                 | 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        |      12358 | PA      | $12091.61     | 0.00%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON SOUTHERN CAL EDISON                | CUSIP: 842400JA2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     300000 | PA      | $301817.18    | 0.02%             | 2027-02-01      | Fixed         | 4.88%                 | 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        |     989808 | PA      | $994873.36    | 0.07%             | 2073-08-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2501.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-12907.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U4UUA7 PIMCO SWAPTION 5.0 PUT USD 20250708          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  159800000 | NC      | $15.98        | 0.00%             |  |  |  | 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        |    4600000 | PA      | $4601616.62   | 0.34%             | 2027-11-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                  | MET LIFE GLOB FUNDING I SECURED 144A 08/25 4.05        | CUSIP: 59217GFC8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4096446.12   | 0.31%             | 2025-08-25      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING I                                             | PRICOA GLOBAL FUNDING 1 SECURED 144A 08/25 4.2         | CUSIP: 74153WCR8<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2997634.32   | 0.22%             | 2025-08-28      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A        | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5835 | PA      | $5881.16      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                     | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1              | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65717 | PA      | $61984.13     | 0.00%             | 2034-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.51000 04/09/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3900.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 08/33 VAR               | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $272015.80    | 0.02%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9FPA1 PIMCO SWAPTION 3.677 CALL USD 202506         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-0.04        | 0.00%             |  |  |  | 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      | $-1310.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9GMA2 PIMCO SWAPTION 4.1 PUT USD 20250703          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-0.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | CITIGROUP REPO REPO                     5807           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   15800000 | PA      | $15800000.00  | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.61000 03/24/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1186.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 14A1      | CUSIP: 07384M4F6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     799881 | PA      | $782443.51    | 0.06%             | 2035-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-8912.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AS3891 FN 11/44 FIXED 4                      | CUSIP: 3138WDKD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8432 | PA      | $8021.65      | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | 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        |    7498238 | PA      | $6498194.37   | 0.49%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR ULTRA FUT SEP25 XCBT 20250919                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1064 | NC      | $-2559846.32  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9MPA6 PIMCO SWAPTION 3.933 PUT USD 2025072         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-419.82      | -0.00%            |  |  |  | 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        |    2107566 | PA      | $2165618.41   | 0.16%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-24474.87    | -0.00%            |  |  |  | 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        |    4300000 | PA      | $4158205.35   | 0.31%             | 2038-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-42.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                                  | BX TRUST BX 2022 FOX2 A2 144A                          | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707019 | PA      | $706393.83    | 0.05%             | 2039-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD8267 FR 11/52 FIXED 5              | CUSIP: 3132DWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     542744 | PA      | $534797.00    | 0.04%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-UP2                              | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1        | CUSIP: 79549AXP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        262 | PA      | $261.84       | 0.00%             | 2033-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  AUG25P 109.5 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -9 | NC      | $-562.50      | -0.00%            |  |  |  | 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        |    3607614 | PA      | $3253201.59   | 0.24%             | 2037-05-25      | Floating      | 4.68%                 | 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        |    2670000 | PA      | $2701360.57   | 0.20%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QG2167 FR 04/53 FIXED 5              | CUSIP: 3133C2MQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     672715 | PA      | $663517.70    | 0.05%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2114.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.39000 10/01/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3545.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-140.82      | -0.00%            |  |  |  | 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        |        286 | PA      | $283.63       | 0.00%             | 2034-09-01      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 4/A2 Y 08/25 ZCP               | CUSIP: 40412BVE0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     900000 | PA      | $894470.67    | 0.07%             | 2025-08-14      | None          | 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        |    1145265 | PA      | $1146005.35   | 0.09%             | 2051-01-25      | Floating      | 5.15%                 | No            |                  2 | 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        |    6884264 | PA      | $6935251.34   | 0.52%             | 2073-09-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250709                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-142.02      | -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      | $-8693.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1951.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $136.81       | 0.00%             |  |  |  | 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        |      20363 | PA      | $21149.63     | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | 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        |     500000 | PA      | $510137.84    | 0.04%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AN7957 FN 01/28 FIXED 3.22                   | CUSIP: 3138LLZX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $983370.77    | 0.07%             | 2028-01-01      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL ZT2003 FR 09/30 FIXED 3.5            | CUSIP: 3132AEGL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233821 | PA      | $231241.63    | 0.02%             | 2030-09-01      | Fixed         | 3.50%                 | 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        |    3100000 | PA      | $3130846.21   | 0.23%             | 2026-11-10      | Floating      | 7.47%                 | 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      | $-10596.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BW7921 FN 08/52 FIXED 5                      | CUSIP: 3140N0YT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99798 | PA      | $98342.04     | 0.01%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                             | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A     | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400000 | PA      | $4394195.96   | 0.33%             | 2038-11-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                             | HCA INC DISC COML PAPER 4/A2 Y 08/25 ZCP               | CUSIP: 40412BVF7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     650000 | PA      | $645918.72    | 0.05%             | 2025-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                              | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1      | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19327 | PA      | $16850.82     | 0.00%             | 2035-11-19      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1        | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128170 | PA      | $101975.58    | 0.01%             | 2046-12-26      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AX1955 FN 08/44 FIXED 4                      | CUSIP: 3138Y3E56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3788 | PA      | $3597.05      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-23968.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $370.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BOBL FUTURE  SEP25 XEUR 20250908                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          5 | NC      | $-3150.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-254.08      | -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      | $-2212.74     | -0.00%            |  |  |  | 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        |    3981480 | PA      | $3394218.16   | 0.25%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD IDR BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-8115.07     | -0.00%            |  |  |  | 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      | $3411.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U7HVA2 PIMCO SWAPTION 2.83 CALL USD 2025103         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -46800000 | NC      | $-27527.76    | -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      | $615015.40    | 0.05%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G07793 FG 06/31 FIXED 5              | CUSIP: 3128M97E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41389 | PA      | $41810.44     | 0.00%             | 2031-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-40.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-127.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20373.27     | 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      | $21525.19     | 0.00%             |  |  |  | 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        |    1196645 | PA      | $1192436.75   | 0.09%             | 2033-10-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.53000 04/23/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2145.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC         | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     905256 | PA      | $904093.31    | 0.07%             | 2074-02-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $566765.52    | 0.04%             |  |  |  | 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        |    5000000 | PA      | $5013136.30   | 0.38%             | 2027-09-22      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-59566.25    | -0.00%            |  |  |  | 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        |    9620462 | PA      | $8757653.58   | 0.66%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 07/32 0.625                            | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10156708 | PA      | $9477949.93   | 0.71%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2356.66      | 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      | $-126107.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                  | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A       | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24940 | PA      | $23985.28     | 0.00%             | 2035-05-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FD         | CUSIP: 38383KZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2205874 | PA      | $2213839.69   | 0.17%             | 2074-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | CDX IG44 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $11226.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9GAA5 PIMCO SWAPTION 2.64 PUT EUR 20250703         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-369.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-224.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL SD1710 FR 10/52 FIXED 5              | CUSIP: 3132DN3T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31975 | PA      | $31511.41     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9EJA1 PIMCO SWAPTION 3.727 CALL USD 202506         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-4927.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                              | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A   | CUSIP: 14686TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2432478 | PA      | $2440363.19   | 0.18%             | 2028-04-10      | Fixed         | 5.42%                 | 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      | $6483.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1118.74      | 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        |     743135 | PA      | $747993.26    | 0.06%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                  | FANNIE MAE FNR 2003 25 KP                              | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1852 | PA      | $1846.14      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-44912.46    | -0.00%            |  |  |  | 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        |    2800000 | PA      | $2823739.38   | 0.21%             | 2028-03-31      | Fixed         | 4.75%                 | 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        |      46055 | PA      | $46953.69     | 0.00%             | 2034-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9G6A0 PIMCO SWAPTION 4.065 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1200000 | NC      | $-0.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B        | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34265 | PA      | $30753.04     | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | 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        |        235 | PA      | $231.13       | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | 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        |     485784 | PA      | $480283.56    | 0.04%             | 2026-12-01      | Fixed         | 3.00%                 | 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        |    4189332 | PA      | $4921256.15   | 0.37%             | 2032-07-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-678.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP BPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2223.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-1A                                      | CHASE AUTO OWNER TRUST CHAOT 2024 1A A2 144A           | CUSIP: 16144BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     594370 | PA      | $595183.01    | 0.04%             | 2027-04-26      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK)                        | SYNCHRONY BANK SR UNSECURED 08/25 5.4                  | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4299267.50   | 0.32%             | 2025-08-22      | Fixed         | 5.40%                 | 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        |    5200000 | PA      | $5231221.27   | 0.39%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3891.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10404.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ILS SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $142.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BOBL OPTION  AUG25P 117.2 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -4 | NC      | $-848.12      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FREDDIE MAC REMICS 5505                                             | FREDDIE MAC FHR 5505 AF                                | CUSIP: 3137HJ6H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2315581 | PA      | $2286691.90   | 0.17%             | 2050-03-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $320.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9LHA7 PIMCO SWAPTION 3.697 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-4723.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-22.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2358.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FJ         | CUSIP: 38375UWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1830990 | PA      | $1837329.06   | 0.14%             | 2066-04-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9L6A9 PIMCO SWAPTION 3.664 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |    -600000 | NC      | $-2859.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U7HTA5 PIMCO SWAPTION 3.75 CALL USD 2025103         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   46800000 | NC      | $161923.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNR-2019-51                                                         | FANNIE MAE FNR 2019 51 AF                              | CUSIP: 3136B5P58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222627 | PA      | $221356.43    | 0.02%             | 2049-09-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4            | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A   | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2674396 | PA      | $2680924.83   | 0.20%             | 2036-11-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                   | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A   | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4500000 | PA      | $5300777.92   | 0.40%             | 2038-08-15      | Floating      | 3.21%                 | No            |                  3 | On Loan: No      |
| N/A                                                                 | SOLD CAD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-21794.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                         | CITIBANK NA CITIBANK NA                                | CUSIP: 17325FBJ6<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1510625.91   | 0.11%             | 2026-08-06      | Fixed         | 4.93%                 | 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      | $-29767.32    | -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        |    1200000 | PA      | $1216949.83   | 0.09%             | 2029-04-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-6.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1683.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.40000 02/12/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1904.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                        | BROADCOM INC SR UNSECURED 07/27 5.05                   | CUSIP: 11135FBZ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     700000 | PA      | $710278.02    | 0.05%             | 2027-07-12      | Fixed         | 5.05%                 | 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        |    4400000 | PA      | $4481688.20   | 0.34%             | 2029-10-15      | Fixed         | 5.74%                 | 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        |       7340 | PA      | $7324.15      | 0.00%             | 2044-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1293.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9FTA7 PIMCO SWAPTION 4.05 PUT USD 20250630         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-0.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                         | CITIBANK NA SR UNSECURED 11/27 VAR                     | CUSIP: 17325FBL1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1610166.37   | 0.12%             | 2027-11-19      | Floating      | 4.88%                 | 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        |    1700000 | PA      | $1708336.10   | 0.13%             | 2026-03-20      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AOA 2021-1177 MORTGAGE TRUST                                        | AVENUE OF AMERICAS AOA 2021 1177 A 144A                | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3320000 | PA      | $3256888.13   | 0.24%             | 2038-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                         | REPUBLIC OF POLAND REPUBLIC OF POLAND                  | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    3850000 | PA      | $3910835.35   | 0.29%             | 2029-03-18      | Fixed         | 4.62%                 | 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      | $-9346.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $12.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT GBP SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $36082.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9MKA1 PIMCO SWAPTION 3.7 CALL USD 20250721         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-6959.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON SOUTHERN CAL EDISON                | CUSIP: 842400JF1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     115000 | PA      | $114849.07    | 0.01%             | 2026-09-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-31021.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052680<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10300000 | PA      | $10290803.75  | 0.77%             | 2054-08-15      | Fixed         | 5.50%                 | 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        |      21624 | PA      | $18526.44     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                  | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A    | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1403400.12   | 0.10%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9L5A0 PIMCO SWAPTION 4.064 PUT USD 2025071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |    -600000 | NC      | $-76.08       | -0.00%            |  |  |  | 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        |     148170 | PA      | $140419.29    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | 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        |    3100000 | PA      | $3245031.42   | 0.24%             | 2029-04-30      | Fixed         | 5.88%                 | 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      | $374879.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9M4A9 PIMCO SWAPTION 3.637 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-2005.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-85.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $10061.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250718                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3970.66     | -0.00%            |  |  |  | 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        |     900000 | PA      | $875387.93    | 0.07%             | 2026-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                               | ROMARK CREDIT FUNDING LTD RCF 2024 3A A 144A           | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $701392.30    | 0.05%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FG         | CUSIP: 38383KDF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1555411 | PA      | $1570498.48   | 0.12%             | 2073-08-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT CANADA CO/CANADA                                        | FORD CREDIT CANADA CO/CA COMPANY GUAR REGS 09/25 6.777 | CUSIP: 34527ACK4<br>LEI: 2549003B8W74KJLQJA63 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $369231.41    | 0.03%             | 2025-09-15      | Fixed         | 6.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q029   | FHLMC MULTIFAMILY STRUCTURED P FHMS Q029 A             | CUSIP: 3137HHH38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100000 | PA      | $1099937.96   | 0.08%             | 2027-08-25      | Floating      | 4.86%                 | 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      | $-40663.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1175.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1         | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64118 | PA      | $55865.33     | 0.00%             | 2047-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.22000 01/08/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3766.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA/NEW YORK BRANCH                              | GOLDMAN SACHS BANK USA GOLDMAN SACHS BANK USA          | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1404323.52   | 0.11%             | 2027-05-21      | Floating      | 5.07%                 | 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        |     137765 | PA      | $142927.07    | 0.01%             | 2034-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)                | FREDDIE MAC NOTES 08/25 0.68                           | CUSIP: 3134GWJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   18800000 | PA      | $18728058.98  | 1.40%             | 2025-08-06      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-12                                           | FANNIE MAE FNR 2025 12 FG                              | CUSIP: 3136BVFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     951145 | PA      | $952088.28    | 0.07%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.42000 03/07/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-10038.03    | -0.00%            |  |  |  | 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        |     400000 | PA      | $403409.66    | 0.03%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                 | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/25 1.474      | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5300000 | PA      | $5296847.72   | 0.40%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB6                                    | COUNTRYWIDE HOME LOANS CWHL 2004 HYB6 A2               | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189471 | PA      | $182491.72    | 0.01%             | 2034-11-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9LFA9 PIMCO SWAPTION 2.46 CALL EUR 2025071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-335.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                              | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A    | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     483345 | PA      | $485460.88    | 0.04%             | 2050-06-21      | Fixed         | 5.08%                 | 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      | $4210.32      | 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      | $5704.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG/LONDON BRANCH                                                | UBS AG LONDON SR UNSECURED 09/25 5.8                   | CUSIP: 902674ZV5<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    3600000 | PA      | $3609219.38   | 0.27%             | 2025-09-11      | Fixed         | 5.80%                 | 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        |        259 | PA      | $261.73       | 0.00%             | 2033-04-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  139700000 | PA      | $141837762.04 | 10.61%            | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2328.30      | 0.00%             |  |  |  | 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        |      22468 | PA      | $19934.72     | 0.00%             | 2035-01-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CHF BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-10966.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                  | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A             | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16125 | PA      | $15394.80     | 0.00%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10310.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                    | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1               | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57344 | PA      | $55149.12     | 0.00%             | 2035-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AB0259 FN 03/37 FIXED 6                      | CUSIP: 31416VJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     242410 | PA      | $253474.49    | 0.02%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                        | ACE SECURITIES CORP. ACE 2006 SD1 M1                   | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2028223 | PA      | $1903753.01   | 0.14%             | 2036-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | REPO BANK AMERICA REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   94400000 | PA      | $94400000.00  | 7.06%             |  |  |  | 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        |      25966 | PA      | $25666.78     | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9LMA1 PIMCO SWAPTION 3.695 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-4170.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20250710                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4810.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                   | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                 | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3456621 | PA      | $3463006.67   | 0.26%             | 2039-02-17      | Floating      | 5.77%                 | 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      | $-20291.53    | -0.00%            |  |  |  | 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      | $1350.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                     | SANTANDER UK GROUP HLDGS SANTANDER UK GROUP HLDGS      | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $2197881.14   | 0.16%             | 2030-09-11      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA 144A 10/27 VAR                                 | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    5000000 | PA      | $5119805.40   | 0.38%             | 2027-10-19      | Floating      | 6.61%                 | 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        |     124190 | PA      | $114940.02    | 0.01%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR NOTE (CBT)SEP25 XCBT 20250919                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -416 | NC      | $-749559.10   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PHHMC MTG PASS THRU CERTIFICATES 2005-4                             | PHHMC MORTGAGE PASS THROUGH CE PHHMC 2005 4 A7         | CUSIP: 69336RBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47500 | PA      | $47501.79     | 0.00%             | 2035-07-18      | Variable      | 5.85%                 | 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        |   11800000 | PA      | $11319719.94  | 0.85%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL4510 FN 01/27 FIXED VAR                    | CUSIP: 3138EMAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        831 | PA      | $831.83       | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                              | CVS CORPORATION                                        | CUSIP: 12665JUF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     450000 | PA      | $449077.05    | 0.03%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                               | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A        | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6323 | PA      | $2672.40      | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP BPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1518.48     | -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        |       6609 | PA      | $6605.55      | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | 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      | $5635.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  AUG25C 112 EXP 07/25/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -2 | NC      | $-1500.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $298.67       | 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      | $-334386.63   | -0.03%            |  |  |  | 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        |       6672 | PA      | $6703.56      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-74.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                       | JONES LANG LASALLE FIN BV 4/A2 07/25 ZCP               | CUSIP: 48002AUE2<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $249552.18    | 0.02%             | 2025-07-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.52000 03/27/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2104.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 5YR NOTE (CBT) SEP25 XCBT 20250930                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1406 | NC      | $1719549.46   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327237 | PA      | $209576.90    | 0.02%             | 2035-09-25      | Floating      | 5.87%                 | 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        |    2700000 | PA      | $2722090.91   | 0.20%             | 2028-04-23      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2903.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD KRW BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-333.84      | -0.00%            |  |  |  | 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        |   14279106 | PA      | $12371286.09  | 0.93%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                      | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                 | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83391 | PA      | $79879.90     | 0.01%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS11                                | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS11 MII1     | CUSIP: 76110WVV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80982 | PA      | $82608.06     | 0.01%             | 2034-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                             | GOLDMAN SACHS GROUP INC SR UNSECURED 08/26 VAR         | CUSIP: 38145GAM2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4105798.06   | 0.31%             | 2026-08-10      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TREASURY BILL 07/25 0.00000                            | CUSIP: 912797LW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     273000 | PA      | $272714.26    | 0.02%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHE TARD INC                           | CUSIP: 01626UU78<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     800000 | PA      | $799275.92    | 0.06%             | 2025-07-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2074.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2098.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-G                                     | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 G 2A7        | CUSIP: 05949ALH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72927 | PA      | $73321.15     | 0.01%             | 2034-08-25      | Floating      | 6.54%                 | 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        |       3140 | PA      | $2933.91      | 0.00%             | 2042-06-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL         | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258920 | PA      | $259347.36    | 0.02%             | 2065-06-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                         | EQUIFAX INC SR UNSECURED 12/27 5.1                     | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4065178.12   | 0.30%             | 2027-12-15      | Fixed         | 5.10%                 | 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        |    2200000 | PA      | $2191548.26   | 0.16%             | 2038-05-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                    | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2             | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10419 | PA      | $4470.24      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-22232.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)              | CBRE SVCS INC 07/25 ZCP                                | CUSIP: 12610BUQ3<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249196.35    | 0.02%             | 2025-07-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)              | CBRE SVCS INC                                          | CUSIP: 12610BUA8<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     700000 | PA      | $699077.34    | 0.05%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-547916.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2003-BC5                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC5 2A2        | CUSIP: 126671K62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     247859 | PA      | $246521.09    | 0.02%             | 2033-12-25      | Floating      | 5.13%                 | 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        |    1110520 | PA      | $1111363.61   | 0.08%             | 2055-03-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1        | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73659 | PA      | $66343.04     | 0.00%             | 2035-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9JRA1 PIMCO SWAPTION 4.12 PUT USD 20250709         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-11.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                  | CREDIT AGRICOLE SA CREDIT AGRICOLE SA                  | CUSIP: 22535WAM9<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1600000 | PA      | $1609725.46   | 0.12%             | 2028-09-11      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                 | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A     | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     554581 | PA      | $555160.15    | 0.04%             | 2032-07-23      | Floating      | 5.37%                 | 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        |    3600000 | PA      | $3660957.43   | 0.27%             | 2028-01-13      | Fixed         | 5.12%                 | 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        |    2344462 | PA      | $2363515.48   | 0.18%             | 2055-02-16      | Floating      | 5.75%                 | 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      | $3194.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                    | BANK OF MONTREAL SR UNSECURED 09/27 VAR                | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    2100000 | PA      | $2105411.95   | 0.16%             | 2027-09-10      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHE TARD INC 07/25 ZCP                 | CUSIP: 01626UUV5<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     850000 | PA      | $846791.08    | 0.06%             | 2025-07-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                             | FREDDIE MAC FHR 5517 FE                                | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2328452 | PA      | $2310286.21   | 0.17%             | 2055-03-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2341.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2372.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-375.40      | -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        |    1400000 | PA      | $1426657.37   | 0.11%             | 2028-02-16      | Fixed         | 5.19%                 | 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        |    1995501 | PA      | $2736841.57   | 0.20%             | 2045-06-13      | Floating      | 5.29%                 | 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        |    2800000 | PA      | $2770883.11   | 0.21%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $37203.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-18994.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 844532 FN 11/35 FLOATING VAR                 | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8893 | PA      | $9065.29      | 0.00%             | 2035-11-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9JLA7 PIMCO SWAPTION 3.79 CALL USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-7292.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3861.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORPORATION                                                     | RTX CORP 07/25 ZCP                                     | CUSIP: 78109FUF7<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299420.07    | 0.02%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CAD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $23894.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                    | DEUTSCHE BANK NY DEUTSCHE BANK NY                      | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2000000 | PA      | $2015661.96   | 0.15%             | 2030-09-11      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9N4A7 PIMCO SWAPTION 3.555 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-1803.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-806130.59   | -0.06%            |  |  |  | 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        |    3042224 | PA      | $2810212.94   | 0.21%             | 2047-07-01      | Fixed         | 3.50%                 | 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        |    3831796 | PA      | $3896217.27   | 0.29%             | 2070-08-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $8261.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9IZA4 PIMCO SWAPTION 4.125 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-3.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BJ5736 FN 04/48 FIXED 4                      | CUSIP: 3140H7LS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1482549 | PA      | $1402696.82   | 0.10%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3058.70      | 0.00%             |  |  |  | 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        |       3380 | PA      | $3247.45      | 0.00%             | 2034-01-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-38918.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT EUR SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $351816.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                | GNMA II POOL MA2569 G2 02/30 FIXED 3                   | CUSIP: 36179Q2A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64317 | PA      | $63112.94     | 0.00%             | 2030-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORPORATION                                                   | INTEL CORPORATION                                      | CUSIP: 45826CU16<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    5150000 | PA      | $5149346.47   | 0.39%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-21292.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032682<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -34500000 | PA      | $-31055738.04 | -2.32%            | 2054-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5345                                             | FREDDIE MAC FHR 5345 A                                 | CUSIP: 3137HAQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1242217 | PA      | $1249787.56   | 0.09%             | 2047-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                       | JONES LANG LASALLE FIN BV 4/A2 07/25 ZCP               | CUSIP: 48002AUG7<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $249487.50    | 0.02%             | 2025-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                        | BROADCOM INC DISC COML PAPER                           | CUSIP: 11135MUA2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    2950000 | PA      | $2946235.52   | 0.22%             | 2025-07-10      | None          | 0.00%                 | 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        |    1900000 | PA      | $2249918.96   | 0.17%             | 2025-12-05      | Fixed         | 3.39%                 | 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      | $-16033.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                         | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1     | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21464 | PA      | $21639.45     | 0.00%             | 2045-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41100000 | PA      | $38221404.91  | 2.86%             | 2054-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | COLOMBIA LA SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-973.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9HMA0 PIMCO SWAPTION 4.019 PUT USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-12.18       | -0.00%            |  |  |  | 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        |    1300000 | PA      | $1308053.62   | 0.10%             | 2027-06-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9L4A1 PIMCO SWAPTION 3.6525 CALL USD 20250         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2611.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $31.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9L3A2 PIMCO SWAPTION 4.0525 PUT USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-86.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 732218 FN 06/43 FLOATING VAR                 | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27807 | PA      | $28108.92     | 0.00%             | 2043-06-01      | Floating      | 5.60%                 | 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        |     500000 | PA      | $506088.48    | 0.04%             | 2028-07-14      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                         | LETRA TESOURO NACIONAL BILLS 10/25 0.00000             | CUSIP: ACI2HDVK6<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  130100000 | PA      | $23097513.30  | 1.73%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                             | FREDDIE MAC FHR 5511 FB                                | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3224612 | PA      | $3239755.58   | 0.24%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                       | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A   | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3437672 | PA      | $3446442.24   | 0.26%             | 2037-01-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-2117.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-70.26       | -0.00%            |  |  |  | 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        |      32222 | PA      | $32462.92     | 0.00%             | 2041-09-01      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-38.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $18475.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $19.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD EUR BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-351465.90   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA4841 FN 12/52 FIXED 5                      | CUSIP: 31418ELX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     305723 | PA      | $301597.08    | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | 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        |      94348 | PA      | $92205.14     | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-20872.53    | -0.00%            |  |  |  | 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        |       1797 | PA      | $1831.72      | 0.00%             | 2035-07-01      | Floating      | 6.70%                 | 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        |    4139202 | PA      | $4854962.33   | 0.36%             | 2032-08-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G97-4                                                    | FANNIE MAE FNR G97 4 FB                                | CUSIP: 31359PK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1760 | PA      | $1764.38      | 0.00%             | 2027-06-17      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                | LAS VEGAS SANDS CORP LAS VEGAS SANDS CORP              | CUSIP: 517834AJ6<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3475406.76   | 0.26%             | 2027-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $65807.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                  | INDIGO CREDIT MANAGEMENT INDI 2A A 144A                | CUSIP: ACI2RZY31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1200000 | PA      | $1416170.81   | 0.11%             | 2038-07-15      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7543.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                   | ENBRIDGE (US) INC                                      | CUSIP: 29251UUB2<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249649.45    | 0.02%             | 2025-07-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-55.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.89900 03/11/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-15423.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $23.46        | 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      | $12712.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -9 | NC      | $-4781.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                         | LETRA TESOURO NACIONAL BILLS 04/26 0.00000             | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   25000000 | PA      | $4144945.84   | 0.31%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $19004.40     | 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        |    4900000 | PA      | $4860704.25   | 0.36%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 841775 FN 09/35 FLOATING VAR                 | CUSIP: 31407VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16652 | PA      | $17087.76     | 0.00%             | 2035-09-01      | Floating      | 7.19%                 | 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        |    3709144 | PA      | $3739327.62   | 0.28%             | 2054-12-25      | Floating      | 5.81%                 | 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      | $-8473.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-96.03       | -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        |     155510 | PA      | $110745.19    | 0.01%             | 2036-01-26      | Floating      | 5.06%                 | 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      | $-17976.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-2882.14     | -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        |    1297437 | PA      | $1278706.95   | 0.10%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9LEA0 PIMCO SWAPTION 2.72 PUT EUR 20250716         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-495.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL G08809 FG 04/48 FIXED 4              | CUSIP: 3128MJ3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     317404 | PA      | $300982.64    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | 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        |    2507577 | PA      | $2513535.06   | 0.19%             | 2054-08-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3126.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-13.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PFP 2022-9 LTD A                                                    | PFP III PFP 2022 9 A 144A                              | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    2237005 | PA      | $2240720.21   | 0.17%             | 2035-08-19      | Floating      | 6.59%                 | 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        |      45868 | PA      | $45928.71     | 0.00%             | 2038-04-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9JKA8 PIMCO SWAPTION 4.14 PUT USD 20250709         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-8.19        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9JTA9 PIMCO SWAPTION 3.772 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-4761.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                       | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A2A 144A  | CUSIP: 96043CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1384154 | PA      | $1384801.15   | 0.10%             | 2027-09-15      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                        | BARCLAYS PLC SR UNSECURED 08/26 5.304                  | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4501359.41   | 0.34%             | 2026-08-09      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-4454.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                             | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC        | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     200000 | PA      | $203367.53    | 0.02%             | 2029-07-23      | Floating      | 5.05%                 | 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        |    1200000 | PA      | $1225097.58   | 0.09%             | 2028-04-22      | Floating      | 5.57%                 | 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        |    1468339 | PA      | $1439669.79   | 0.11%             | 2035-07-16      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                             | HYUNDAI CAPITAL AMERICA HYUNDAI CAPITAL AMERICA        | CUSIP: 44891ACW5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4024844.52   | 0.30%             | 2027-01-08      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-54                                           | FANNIE MAE FNR 2024 54 FC                              | CUSIP: 3136BSSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     694037 | PA      | $695663.62    | 0.05%             | 2054-08-25      | Floating      | 5.28%                 | 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        |    6000000 | PA      | $5927831.40   | 0.44%             | 2036-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U6RUA2 PIMCO SWAPTION 3.25 CALL USD 2025080         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -138100000 | NC      | $-14569.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-863661.81   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BOBL OPTION  AUG25C 118.5 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -4 | NC      | $-518.30      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DANSKE BANK A/S                                                     | DANSKE BANK A/S DANSKE BANK A/S                        | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    2400000 | PA      | $2442228.84   | 0.18%             | 2028-03-01      | Floating      | 5.43%                 | 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        |       2787 | PA      | $2726.95      | 0.00%             | 2035-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.28000 09/16/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7783.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                   | TELUS CORP                                             | CUSIP: 87974PW41<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $247891.20    | 0.02%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA         | CUSIP: 38382Y5K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2846267 | PA      | $2876940.23   | 0.22%             | 2073-05-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9M3A0 PIMCO SWAPTION 4.037 PUT USD 2025071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-172.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $19860.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H26                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H26 FA         | CUSIP: 38376RJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2695835 | PA      | $2701571.36   | 0.20%             | 2065-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9944.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4035.05      | 0.00%             |  |  |  | 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        |    1988774 | PA      | $1935931.88   | 0.14%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1726.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.67900 08/13/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $583.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                  | BACARDI MARTINI B V                                    | CUSIP: 05634EUA8<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249665.88    | 0.02%             | 2025-07-10      | None          | 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        |    8600000 | PA      | $8654450.81   | 0.65%             | 2026-04-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20250903                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-316.49      | -0.00%            |  |  |  | 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      | $-3472.28     | -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      | $-35320.09    | -0.00%            |  |  |  | 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        |    1700000 | PA      | $1595088.41   | 0.12%             | 2054-07-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A5                         | CITIBANK CREDIT CARD ISSUANCE CCCIT 2018 A5 A5         | CUSIP: 17305EGP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $2101074.78   | 0.16%             | 2027-08-07      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                     | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 05/30 5.375 | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    1100000 | PA      | $1121002.85   | 0.08%             | 2030-05-30      | Fixed         | 5.38%                 | 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        |  151600000 | PA      | $151050263.53 | 11.30%            | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1482.54      | 0.00%             |  |  |  | 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        |     117441 | PA      | $115851.42    | 0.01%             | 2035-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS INC                                 | NEXTERA ENERGY CAP HLDGS INC                           | CUSIP: 65339MUP9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249262.50    | 0.02%             | 2025-07-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE COMPANY                                  | HP ENTERPRISE CO HP ENTERPRISE CO                      | CUSIP: 42824CBR9<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2254246.92   | 0.17%             | 2026-09-25      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1507.12     | -0.00%            |  |  |  | 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        |    1800000 | PA      | $1855195.20   | 0.14%             | 2029-05-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                        | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A           | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     895169 | PA      | $892491.94    | 0.07%             | 2034-10-15      | Floating      | 5.32%                 | 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        |   10860229 | PA      | $11041020.93  | 0.83%             | 2072-11-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-24.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-53.56       | -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        |    2649025 | PA      | $2645715.44   | 0.20%             | 2037-01-20      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD TWD BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3227.67     | -0.00%            |  |  |  | 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        |    2800000 | PA      | $2832964.29   | 0.21%             | 2028-02-10      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5387 FN 06/54 FIXED 5                      | CUSIP: 31418E6Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   71809505 | PA      | $70541192.09  | 5.28%             | 2054-06-01      | Fixed         | 5.00%                 | 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        |      20496 | PA      | $20492.01     | 0.00%             | 2031-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD GBP BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-55839.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC                                                           | AMGEN INC SR UNSECURED 03/28 5.15                      | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     283000 | PA      | $289245.54    | 0.02%             | 2028-03-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHE TARD INC 07/25 ZCP                 | CUSIP: 01626UU86<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $249741.23    | 0.02%             | 2025-07-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-84.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $101.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3842.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                             | BPCE SA SR UNSECURED 144A 01/27 VAR                    | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2100000 | PA      | $2114504.78   | 0.16%             | 2027-01-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL CB5278 FN 11/52 FIXED 5                      | CUSIP: 3140QQ2L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     207808 | PA      | $204733.49    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9J0A0 PIMCO SWAPTION 3.775 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-12424.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                  | SOUTHERN CAL EDISON SOUTHERN CAL EDISON                | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1206188.04   | 0.09%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                  | CANADIAN NATURAL RESOU                                 | CUSIP: 13638WUB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $249638.80    | 0.02%             | 2025-07-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2162.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.70000 08/13/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-27041.42    | -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        |        249 | PA      | $239.15       | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                              | CVS CORPORATION 07/25 ZCP                              | CUSIP: 12665JUE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2245701.38   | 0.17%             | 2025-07-14      | None          | 0.00%                 | 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        |    3700000 | PA      | $3705560.29   | 0.28%             | 2026-07-16      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                        | ACE SECURITIES CORP. ACE 2006 HE4 A2A                  | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42094 | PA      | $16555.26     | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-537723.17   | -0.04%            |  |  |  | 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        |       2573 | PA      | $2514.51      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4727.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.59000 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3500.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-2           | GM FINANCIAL CONSUMER AUTOMOBI GMCAR 2024 2 A2B        | CUSIP: 379931AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1063891 | PA      | $1063832.49   | 0.08%             | 2027-03-16      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $8909.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-274.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                              | PIKES PEAK CLO PIPK 2018 2A ARR 144A                   | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000954.21   | 0.07%             | 2034-10-11      | Floating      | 5.49%                 | 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      | $10957.88     | 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      | $-18907.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                           | FANNIE MAE FNR 2024 38 AF                              | CUSIP: 3136BR5A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1142497 | PA      | $1143057.85   | 0.09%             | 2047-12-25      | Floating      | 5.13%                 | 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        |   19600000 | PA      | $19369037.52  | 1.45%             | 2025-10-27      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                   | HSBC HOLDINGS PLC SR UNSECURED 03/29 VAR               | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4679782.88   | 0.35%             | 2029-03-09      | Floating      | 6.16%                 | 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        |         26 | PA      | $26.56        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL ZS7743 FR 01/29 FIXED 2.5            | CUSIP: 3132A8S83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43538 | PA      | $42604.01     | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-322.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                  | CANADIAN NATURAL RESOU 08/25 ZCP                       | CUSIP: 13638WV66<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |    2550000 | PA      | $2537545.80   | 0.19%             | 2025-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9N3A8 PIMCO SWAPTION 3.905 PUT USD 2025072         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-923.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                             | FREDDIE MAC FHR 5508 DF                                | CUSIP: 3137HJG84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2103929 | PA      | $2109512.60   | 0.16%             | 2055-02-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9EIA2 PIMCO SWAPTION 4.127 PUT USD 2025063         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-0.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  AUG25P 110.2 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -30 | NC      | $-3750.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT ZAR SOLD USD 20250723                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5684.15      | 0.00%             |  |  |  | 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        |       1709 | PA      | $1792.63      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JABIL INC                                                           | JABIL INC                                              | CUSIP: 46652LU21<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249929.13    | 0.02%             | 2025-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BUND OPTION  AUG25C 132.5 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $-164.91      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | SOLD BRL BOUGHT USD 20251002                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-387347.75   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL 869846 FN 04/36 FIXED 6.5                    | CUSIP: 31409FL30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35925 | PA      | $37126.42     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-120.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1291.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                         | SWEDBANK AB 144A 09/27 5.337                           | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    4100000 | PA      | $4184326.71   | 0.31%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                          | ABBVIE INC ABBVIE INC                                  | CUSIP: 00287YDR7<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4141241.00   | 0.31%             | 2027-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT THB SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2804.34      | 0.00%             |  |  |  | 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        |    7356228 | PA      | $6694585.08   | 0.50%             | 2047-12-01      | Fixed         | 3.50%                 | 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        |   10737610 | PA      | $9317452.84   | 0.70%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF9880 FR 04/53 FIXED 5              | CUSIP: 3133BX6R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     589044 | PA      | $580465.67    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-120                                          | FANNIE MAE FNR 2012 120 WE                             | CUSIP: 3136A9N53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1383672 | PA      | $1343862.14   | 0.10%             | 2027-11-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $13991.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                | ROYAL BANK OF CANADA SR UNSECURED 01/29 VAR            | CUSIP: 78017DAA6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1000000 | PA      | $1014762.57   | 0.08%             | 2029-01-24      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORPORATION                                        | NORTHROP GRUMAN CORP                                   | CUSIP: 66681LUQ1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1246155.50   | 0.09%             | 2025-07-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                       | JONES LANG LASALLE FIN BV 4/A2 07/25 ZCP               | CUSIP: 48002AU93<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $499426.10    | 0.04%             | 2025-07-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)                | FREDDIE MAC NOTES 10/25 0.65                           | CUSIP: 3134GWZV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   29100000 | PA      | $28771199.10  | 2.15%             | 2025-10-22      | Fixed         | 0.65%                 | 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        |    1900000 | PA      | $2249455.67   | 0.17%             | 2027-02-23      | Floating      | 3.05%                 | 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        |    3613927 | PA      | $3534953.45   | 0.26%             | 2036-12-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2002-HE1                            | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1       | CUSIP: 04541GCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8849 | PA      | $9354.28      | 0.00%             | 2032-03-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHE TARD INC 07/25 ZCP                 | CUSIP: 01626UUA1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     700000 | PA      | $699093.08    | 0.05%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT CANADA CO/CANADA                                        | FORD CREDIT CANADA CO COMPANY GUAR 02/26 7             | CUSIP: 34527ACL2<br>LEI: 2549003B8W74KJLQJA63 | Long             | DBT              | CORP              | CA        |     600000 | PA      | $448694.42    | 0.03%             | 2026-02-10      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT PLN SOLD USD 20250710                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $421.57       | 0.00%             |  |  |  | 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        |    1940466 | PA      | $1940090.55   | 0.15%             | 2055-03-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                     | TOYOTA MOTOR CREDIT CORP TOYOTA MOTOR CREDIT CORP      | CUSIP: 89236TMJ1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     500000 | PA      | $501867.83    | 0.04%             | 2026-08-07      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $468.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9EPA4 PIMCO SWAPTION 3.701 CALL USD 202506         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-936.95      | -0.00%            |  |  |  | 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        |    2800000 | PA      | $2781918.86   | 0.21%             | 2025-12-01      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                              | PIKES PEAK CLO PIPK 2019 4A ARR 144A                   | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1100811.83   | 0.08%             | 2034-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042475<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $198756.01    | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 7 DAC 7A                                          | TORO EUROPEAN CLO TCLO 7A ARE 144A                     | CUSIP: ACI227LV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5325840 | PA      | $6254296.53   | 0.47%             | 2034-02-15      | Floating      | 2.95%                 | 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      | $-169743.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD NZD BOUGHT USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-14392.79    | -0.00%            |  |  |  | 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        |     731293 | PA      | $751777.20    | 0.06%             | 2044-08-15      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.55000 04/16/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1013.40      | 0.00%             |  |  |  | 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        |    1483632 | PA      | $1444722.93   | 0.11%             | 2032-01-01      | Fixed         | 3.00%                 | 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        |     100000 | PA      | $99061.03     | 0.01%             | 2036-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-86.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                             | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 08/25 VAR    | CUSIP: 44891ACL9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2601249.56   | 0.19%             | 2025-08-04      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34767.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $233.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2340.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-51.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FE         | CUSIP: 38376R6F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2593995 | PA      | $2633053.69   | 0.20%             | 2067-07-20      | Floating      | 6.72%                 | 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      | $-2429.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $9381.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2191.75      | 0.00%             |  |  |  | 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        |    5100000 | PA      | $5003603.57   | 0.37%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL3627 FN 04/32 FIXED VAR                    | CUSIP: 3138ELA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43454 | PA      | $43540.05     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | 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        |    5426771 | PA      | $5415690.34   | 0.41%             | 2054-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1         | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89416 | PA      | $78804.02     | 0.01%             | 2035-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9G7A9 PIMCO SWAPTION 3.715 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1200000 | NC      | $-4962.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4400000 | PA      | $3649533.27   | 0.27%             | 2054-08-15      | Fixed         | 2.50%                 | 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        |    2000000 | PA      | $2002428.52   | 0.15%             | 2026-07-22      | Floating      | 4.83%                 | 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        |    2480712 | PA      | $2472397.58   | 0.18%             | 2072-04-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR         | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13787 | PA      | $14122.52     | 0.00%             | 2035-09-01      | Floating      | 7.36%                 | 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        |    2107165 | PA      | $2105001.80   | 0.16%             | 2038-03-15      | Floating      | 5.63%                 | 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        |    2200000 | PA      | $2211512.14   | 0.17%             | 2026-10-13      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                         | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   12489791 | PA      | $122349991.43 | 9.15%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                 | 317U9N1A0 PIMCO SWAPTION 3.914 PUT USD 2025072         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-1039.92     | -0.00%            |  |  |  | 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        |    1204919 | PA      | $1140769.45   | 0.09%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1817.13      | 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        |      11338 | PA      | $11426.76     | 0.00%             | 2042-07-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                  | ORACLE CORP SR UNSECURED 08/28 VAR                     | CUSIP: 68389XCX1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     750000 | PA      | $753573.08    | 0.06%             | 2028-08-03      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2410.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-1994.50     | -0.00%            |  |  |  | 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        |    3000000 | PA      | $3015390.54   | 0.23%             | 2026-01-13      | Fixed         | 5.46%                 | 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        |    3640892 | PA      | $3644126.41   | 0.27%             | 2037-02-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                       | ENEL FINANCE INTL NV COMPANY GUAR 144A 10/25 7.05      | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    5000000 | PA      | $5029748.05   | 0.38%             | 2025-10-14      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                               | AIR LEASE CORP DISC COML PAPER 07/25 ZCP               | CUSIP: 00913WUH6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249436.28    | 0.02%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-50.20       | -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        |    4905850 | PA      | $4250404.16   | 0.32%             | 2052-02-01      | Fixed         | 3.00%                 | 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        |    6967053 | PA      | $6040317.46   | 0.45%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1682.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9JSA0 PIMCO SWAPTION 4.122 PUT USD 2025071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-14.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U7HUA3 PIMCO SWAPTION 3.29 CALL USD 2025103         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -46800000 | NC      | $-65033.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-0.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                               | HOLCIM FIN US LLC 07/25 ZCP                            | CUSIP: 43475FUG5<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1995905.60   | 0.15%             | 2025-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                          | MONDELEZ INTL INC                                      | CUSIP: 60920VVB5<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     600000 | PA      | $596822.70    | 0.04%             | 2025-08-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 10YR FUT OPTN  AUG25P 108.5 EXP 07/25/2025          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -2 | NC      | $-62.50       | -0.00%            |  |  |  | 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        |     888579 | PA      | $907401.14    | 0.07%             | 2053-07-15      | Fixed         | 5.38%                 | 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        |     258133 | PA      | $258827.15    | 0.02%             | 2066-05-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                        | UBS GROUP AG SR UNSECURED 144A 07/26 VAR               | CUSIP: 225401AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4200000 | PA      | $4203955.90   | 0.31%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                 | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A               | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1200457.72   | 0.09%             | 2035-01-25      | Floating      | 5.58%                 | 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        |    1752600 | PA      | $1790775.93   | 0.13%             | 2071-08-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1                        | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2025 1 A3         | CUSIP: 36271VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2517873.00   | 0.19%             | 2028-02-21      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FA         | CUSIP: 38383KCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1844291 | PA      | $1854567.30   | 0.14%             | 2073-07-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9MJA3 PIMCO SWAPTION 4.05 PUT USD 20250721         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-405.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $26.76        | 0.00%             |  |  |  | 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        |        754 | PA      | $717.42       | 0.00%             | 2034-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD ILS BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-26.60       | -0.00%            |  |  |  | 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        |    3933717 | PA      | $3347364.32   | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | 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        |       8262 | PA      | $8454.75      | 0.00%             | 2035-07-01      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                             | FREDDIE MAC FHR 5426 CF                                | CUSIP: 3137HCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     859456 | PA      | $858865.48    | 0.06%             | 2050-12-15      | Floating      | 5.25%                 | 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        |    2689243 | PA      | $2507376.71   | 0.19%             | 2046-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9LLA2 PIMCO SWAPTION 4.095 PUT USD 2025071         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-126.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 31750QN88 PIMCO CDSOPT PUT USD 0.85 20250716           | CUSIP: OP00442S4<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -1200000 | NC      | $-86.06       | -0.00%            |  |  |  | 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      | $-12768.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 07/25 0.375                            | CUSIP: 912828XL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5613332 | PA      | $5610703.73   | 0.42%             | 2025-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3297.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE         | CUSIP: 38383KDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2051576 | PA      | $2061951.98   | 0.15%             | 2073-08-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-35.58       | -0.00%            |  |  |  | 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      | $-912818.97   | -0.07%            |  |  |  | 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        |    1900000 | PA      | $1905208.47   | 0.14%             | 2027-07-20      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD THB BOUGHT USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-69.34       | -0.00%            |  |  |  | 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        |    4065184 | PA      | $4073993.34   | 0.30%             | 2039-02-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| NXP BV / NXP FUNDING LLC / NXP USA INC                              | NXP BV NXP FDG NXP USA DISC CO                         | CUSIP: 67122RU26<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |     250000 | PA      | $249936.10    | 0.02%             | 2025-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                               | WELLS FARGO + COMPANY SR UNSECURED 01/28 VAR           | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3526482.65   | 0.26%             | 2028-01-24      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $6374.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-28.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT TWD SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2829.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.97500 03/21/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-30747.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD SGD BOUGHT USD 20250805                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-216.39      | -0.00%            |  |  |  | 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        |   12397853 | PA      | $12629022.88  | 0.94%             | 2072-11-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-73.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-4A                                 | HERTZ VEHICLE FINANCING LLC HERTZ 2022 4A A 144A       | CUSIP: 42806MBA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2250000 | PA      | $2246798.03   | 0.17%             | 2026-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | US TREASURY N/B 01/26 3.875                            | CUSIP: 91282CGE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53100000 | PA      | $53031238.16  | 3.97%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BUND FUTURE  SEP25 XEUR 20250908                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          3 | NC      | $-3631.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                                | STONEPEAK SALTT 2021 1A AA 144A                        | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1567765 | PA      | $1502200.58   | 0.11%             | 2033-02-28      | Fixed         | 2.30%                 | 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        |        387 | PA      | $383.46       | 0.00%             | 2036-12-01      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT KRW SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $7828.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXPRESSWAY CORPORATION                                        | KOREA EXPRESSWAY CORP KOREA EXPRESSWAY CORP            | CUSIP: 50066HAD0<br>LEI: 988400EZO9DR1OFL5772 | Long             | DBT              | CORP              | KR        |    2000000 | PA      | $2031822.08   | 0.15%             | 2027-05-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9GBA4 PIMCO SWAPTION 2.38 CALL EUR 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-1.52        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-48771.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                               | CROWN CASTLE                                           | CUSIP: 22823PUQ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1345494.78   | 0.10%             | 2025-07-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.60500 08/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2328.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9GNA1 PIMCO SWAPTION 3.75 CALL USD 2025070         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-5445.92     | -0.00%            |  |  |  | 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        |    1400000 | PA      | $1407345.18   | 0.11%             | 2028-02-04      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $21.78        | 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        |    3200000 | PA      | $3226433.70   | 0.24%             | 2026-11-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| KOREA HOUSING FINANCE CORP (KHFC)                                   | KOREA HOUSING FINANCE CO 08/27 4.875                   | CUSIP: 50065RAP2<br>LEI: 9884002AAOBT56QW9B80 | Long             | DBT              | CORP              | KR        |    1300000 | PA      | $1318627.32   | 0.10%             | 2027-08-27      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL BY3411 FN 06/53 FIXED 5                      | CUSIP: 3140NKYH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22660 | PA      | $22331.90     | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-241.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                  | FANNIE MAE FNR 2007 73 A1                              | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41143 | PA      | $40416.99     | 0.00%             | 2037-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT BRL SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $151131.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                  | TSY INFL IX N/B 10/25 0.125                            | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1668897 | PA      | $1663144.85   | 0.12%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT INR SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $423.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                  | BACARDI MARTINI B V                                    | CUSIP: 05634EU34<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249900.38    | 0.02%             | 2025-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD INR BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $15.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.89000 03/03/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2446.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                   | CAPITAL ONE FINANCIAL CO SR UNSECURED 07/26 VAR        | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4099876.43   | 0.31%             | 2026-07-24      | Floating      | 4.99%                 | 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        |      76941 | PA      | $75989.22     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL0300 FN 06/26 FIXED VAR                    | CUSIP: 3138EGKN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        500 | PA      | $499.70       | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | 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      | $-2560.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5352 FN 05/54 FIXED 5                      | CUSIP: 31418E5N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     561074 | PA      | $550383.13    | 0.04%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | RFR USD SOFR/3.87000 03/05/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4392.37     | -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      | $6224.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CHF SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $10941.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                  | CARVAL CLO LTD CARVL 2019 2A AR2 144A                  | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     986390 | PA      | $987127.57    | 0.07%             | 2032-07-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2003-J2                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J2 A1        | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3822 | PA      | $3902.20      | 0.00%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CNH SOLD USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11519.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                     | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17656 | PA      | $17874.35     | 0.00%             | 2034-09-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                          | ABBVIE INC                                             | CUSIP: 00287BU72<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2198042.88   | 0.16%             | 2025-07-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2023-BA ASSET-BACKED NOTES | FORD AUTO SECURITIZATION TRUST FASTR 2023 BA A2 144A   | CUSIP: 345214AY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    1514126 | PA      | $1135492.68   | 0.08%             | 2028-07-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9MQA5 PIMCO SWAPTION 3.583 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-1230.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | SOLD JPY BOUGHT USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-19.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.46000 04/01/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5309.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QG2593 FR 04/53 FIXED 5              | CUSIP: 3133C23A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     844740 | PA      | $830906.34    | 0.06%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-7.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL AL5548 FN 05/38 FLOATING VAR                 | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     460583 | PA      | $477992.38    | 0.04%             | 2038-05-01      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9GFA0 PIMCO SWAPTION 3.725 CALL USD 202507         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-2662.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST 2023-1                                 | VEROS AUTO RECEIVABLES TRUST VEROS 2023 1 A 144A       | CUSIP: 924933AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     117858 | PA      | $118013.06    | 0.01%             | 2028-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHE TARD INC 07/25 ZCP                 | CUSIP: 01626UU29<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $249935.55    | 0.02%             | 2025-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                | FNMA POOL MA5071 FN 07/53 FIXED 5                      | CUSIP: 31418ET59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15655386 | PA      | $15390901.21  | 1.15%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                          | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A              | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2200000 | PA      | $2201379.40   | 0.16%             | 2034-10-15      | Floating      | 5.54%                 | 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        |    9476104 | PA      | $9059306.76   | 0.68%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT JPY SOLD USD 20250804                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7084.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1        | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45811 | PA      | $39959.02     | 0.00%             | 2035-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                 | GLOBAL PMTS INC 07/25 ZCP                              | CUSIP: 37961CU18<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249966.00    | 0.02%             | 2025-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | EURO-BUND OPTION  AUG25P 129 EXP 07/25/2025            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -1 | NC      | $-400.50      | -0.00%            |  |  |  | No            |                  1 | 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        |    1540086 | PA      | $1540491.06   | 0.12%             | 2030-10-24      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                          | HARDWOOD FUNDING LLC CORP0HRE5                         | CUSIP: 955NUFII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1010053.41   | 0.08%             | 2030-06-07      | Fixed         | 4.98%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                 | SOLD CNH BOUGHT USD 20250820                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3353.69     | -0.00%            |  |  |  | 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      | $-34943.74    | -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        |    2344462 | PA      | $2283901.06   | 0.17%             | 2055-02-16      | Fixed         | 3.94%                 | 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      | $4171.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 5557                                                    | FREDDIE MAC FHR 5557 FM                                | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2600815.88   | 0.19%             | 2055-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                         | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    2794248 | PA      | $27207588.03  | 2.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                               | FED HM LN PC POOL QF1432 FR 10/52 FIXED 5              | CUSIP: 3133BNSV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     173545 | PA      | $170933.70    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT MYR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $141.89       | 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        |     136500 | PA      | $102006.75    | 0.01%             | 2035-07-19      | Floating      | 4.82%                 | 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      | $227284.60    | 0.02%             |  |  |  | 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        |    3300000 | PA      | $3352032.65   | 0.25%             | 2029-01-12      | Floating      | 5.02%                 | 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        |     700000 | PA      | $708167.43    | 0.05%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 5557                                                    | FHR 5557 FM SOFR30A+110BP                              | CUSIP: 955TAMII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2599187.50   | 0.19%             | 2055-07-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT SGD SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $22.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                        | ALIMENTATION COUCHE TARD INC 07/25 ZCP                 | CUSIP: 01626UUW3<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     750000 | PA      | $747071.85    | 0.06%             | 2025-07-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | 317U9EOA5 PIMCO SWAPTION 4.101 PUT USD 2025063         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-0.07        | 0.00%             |  |  |  | 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        |      91470 | PA      | $86751.58     | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                              | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1            | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53201 | PA      | $51434.79     | 0.00%             | 2045-02-25      | Floating      | 5.60%                 | 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        |    5826735 | PA      | $6001483.26   | 0.45%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT IDR SOLD USD 20250716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $365.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | IRS EUR 2.30000 09/25/24-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3156.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | US 2YR NOTE (CBT) SEP25 XCBT 20250930                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       4941 | NC      | $4132720.24   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                 | BOUGHT CHF SOLD USD 20250702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $3994.39      | 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      | $-248317.93   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1       | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1436 | PA      | $1407.25      | 0.00%             | 2032-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                        | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                     | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153085 | PA      | $152483.88    | 0.01%             | 2042-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-19

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer