# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004488
**Filing Date:** 2025-11
**Character Count:** 514134
**Document Hash:** 577880a5502e85661d9a768d8656604a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004488.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004488

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528316

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

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

## Series and Classes Contracts Data

### PIMCO StocksPLUS International Fund (U.S. Dollar-Hedged) (Series ID: S000009687)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026559 | Institutional | PISIX           |
| C000026560 | A             | PIPAX           |
| C000026562 | C             | PIPCX           |
| C000064140 | I-2           | PIUHX           |
| C000200443 | I-3           | PISNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO StocksPLUS International Fund (U.S. Dollar-Hedged)

- **b. EDGAR series identifier (if any):** S000009687

- **c. LEI of Series:** 549300VONR8FK9YHCU32

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $8876343298.55

**Total Liabilities:** $5610646840.99

**Net Assets:** $3265696457.56

**Delayed Delivery Securities:** $57623283.14

**Cash Not Reported:** $40107122.67

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 524833.231600 | **1-Year:** 529959.027200 | **5-Year:** 654831.828500 | **10-Year:** 31990.393800 | **30-Year:** 193.514200

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

- **3-Month:** 20219.810500 | **1-Year:** 31775.745300 | **5-Year:** 97814.213900 | **10-Year:** 30710.618000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026560 | 1.87%                | 2.81%                | 2.24%                |
| Class ID C000026562 | 1.80%                | 2.80%                | 2.25%                |
| Class ID C000064140 | 1.83%                | 2.92%                | 2.33%                |
| Class ID C000200443 | 1.84%                | 2.93%                | 2.33%                |
| Class ID C000026559 | 1.91%                | 2.86%                | 2.31%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5890114.68              | $-22345443.03                              |
| Month 2  | $13034491.81             | $19933245.34                               |
| Month 3  | $15302211.15             | $-2089507.74                               |

**Designated Index Information**

- **Index Name:** MSCI EAFE Net Total Return USD Hedged Index

- **Index Identifier:** M0EFHUSD

### 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 CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $3360.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                          | FREMONT HOME LOAN TRUST FHLT 2005 E 2A4                 | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133040 | PA      | $128918.71     | 0.00%             | 2036-01-25      | Floating      | 4.93%                 | 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      | $12377.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $35548.31      | 0.00%             |  |  |  | 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      | $-37366.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   96700000 | PA      | $5619574.64    | 0.17%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5244.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1433.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                          | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000     | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    3990000 | PA      | $3007163.25    | 0.09%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $216.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 2245000000 | NC      | $10238547.00   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5333109.58    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-INV1                                    | VERUS SECURITIZATION TRUST VERUS 2024 INV1 A1 144A      | CUSIP: 92540FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6198064 | PA      | $6275024.55    | 0.19%             | 2069-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                         | AVON FINANCE AVON 4A A 144A                             | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    5739108 | PA      | $7735889.99    | 0.24%             | 2049-12-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 2A B 144A     | CUSIP: ACI2Q3NC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1400000 | PA      | $1647688.55    | 0.05%             | 2034-05-15      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 2A1       | CUSIP: 12668BB77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     491832 | PA      | $465835.89     | 0.01%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3186703 | PA      | $2932167.88    | 0.09%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-218070.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $804193.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $22613.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 606116 FN 09/31 FLOATING VAR                  | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $107.58        | 0.00%             | 2031-09-01      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.06300 12/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-55342.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                   | ROMARK CREDIT FUNDING LTD RCF 2025 4A A 144A            | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7018900.00    | 0.21%             | 2043-07-29      | Fixed         | 5.42%                 | 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      | $-73123.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $37173.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                           | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A     | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     231953 | PA      | $231118.07     | 0.01%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                          | AUTONATION, INC                                         | CUSIP: 05330LX81<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3790000 | PA      | $3785992.45    | 0.12%             | 2025-10-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815       | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195141.08     | 0.01%             | 2027-11-02      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-18275.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI PROPERTIES LP SR UNSECURED 04/35 5.625             | CUSIP: 925650AK9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1024633.46    | 0.03%             | 2035-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY FEDL01+35 GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $2564520.37    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1035380.51   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                    | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248737 | PA      | $220695.22     | 0.01%             | 2046-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                             | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A  | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5025998 | PA      | $4569793.04    | 0.14%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53859 | PA      | $44468.52      | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-3611.36      | -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        |    1450509 | PA      | $1453268.80    | 0.04%             | 2039-02-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-74                                               | FANNIE MAE FNR 2025 74 FB                               | CUSIP: 3136BXEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23871163 | PA      | $23955905.59   | 0.73%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/25 3                                 | CUSIP: 9128285J5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15086200 | PA      | $15071782.57   | 0.46%             | 2025-10-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5           | CUSIP: 83611MKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3257275 | PA      | $3094292.79    | 0.09%             | 2036-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4544.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                              | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR           | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4048697.96    | 0.12%             | 2031-07-08      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-217.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                              | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $8669362.18    | 0.27%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.30500 11/27/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-42327.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                | HYATT HOTELS CORP SR UNSECURED 03/32 5.75               | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104342.73     | 0.00%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $35444.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF TRUST 2022-1A                                                       | FIRST HELP FINANCIAL LLC FHF 2022 1A A 144A             | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     135988 | PA      | $135970.79     | 0.00%             | 2028-01-18      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49740000 | PA      | $48216329.00   | 1.48%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6202.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BW2319 FN 08/52 FIXED 4.5                     | CUSIP: 3140MTSH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3031152 | PA      | $2952318.36    | 0.09%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     504335 | PA      | $378314.51     | 0.01%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   26682602 | PA      | $259861865.60  | 7.96%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-231.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -29000000 | NC      | $-18966.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA3NA8 PIMCO SWAPTION 4.75 PUT USD 20260218          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6600000 | NC      | $4233.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5        | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100202 | PA      | $99410.16      | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14269.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $14840.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $57419.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XVI LTD 2022-1A                                       | MOUNTAIN VIEW CLO MVEW 2022 1A A1R 144A                 | CUSIP: 62432UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3200000 | PA      | $3205379.87    | 0.10%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-114793.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-653.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   21400000 | NC      | $1178177.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  155560000 | PA      | $150828550.82  | 4.62%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM34 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2828.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-49707.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1818749.68    | 0.06%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-4                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 4 M2           | CUSIP: 00764MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5930313 | PA      | $5735938.10    | 0.18%             | 2035-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $0.09          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-159                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 159 FJ          | CUSIP: 38381U6P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15300000 | PA      | $15333227.78   | 0.47%             | 2055-09-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $14567.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                      | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    8700000 | PA      | $8729774.18    | 0.27%             | 2035-04-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-9465.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                             | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    8000000 | PA      | $8036000.00    | 0.25%             | 2037-01-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $24162.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM40 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1385.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ0137 FR 12/53 FIXED 5               | CUSIP: 3142GQEK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14207682 | PA      | $14130716.90   | 0.43%             | 2053-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB7320 FN 09/53 FIXED 4.5                     | CUSIP: 3140QTD22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2176110 | PA      | $2123281.87    | 0.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 A1 144A     | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5637682 | PA      | $5023904.87    | 0.15%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10389000 | PA      | $10387841.00   | 0.32%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                          | LENDMARK FUNDING TRUST LFT 2021 1A A 144A               | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6326000 | PA      | $6127713.43    | 0.19%             | 2031-11-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $61250.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QI4559 FR 05/54 FIXED 6.5             | CUSIP: 3133WBB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5013802 | PA      | $5251450.56    | 0.16%             | 2054-05-01      | Fixed         | 6.50%                 | 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      | $28071.63      | 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      | $-157569.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5571                                                 | FREDDIE MAC FHR 5571 FB                                 | CUSIP: 3137HMEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10084125 | PA      | $10126399.12   | 0.31%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15388 | PA      | $16034.46      | 0.00%             | 2034-11-01      | Floating      | 6.49%                 | 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        |    5800000 | PA      | $6829233.20    | 0.21%             | 2038-08-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A          | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1638746 | PA      | $1508285.73    | 0.05%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RK97 PIMCO FXVAN PUT USD BRL 5.50000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    9620000 | NC      | $294978.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2023-NQM2 TRUST                                                     | MFRA TRUST MFRA 2023 NQM2 A1 144A                       | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3012422 | PA      | $2986753.24    | 0.09%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2535.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y7A0 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   45000000 | NC      | $2512899.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-91938.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                       | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8900000 | PA      | $8912704.75    | 0.27%             | 2065-06-22      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-15239.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $23816.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2714000 | PA      | $2705159.66    | 0.08%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1163.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88000 01/13/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $43812.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $2699.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                                    | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    4700000 | PA      | $3479316.00    | 0.11%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-148088.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   44463474 | PA      | $2325692.05    | 0.07%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-14N                                                | LEHMAN XS TRUST LXS 2006 14N 2A                         | CUSIP: 52522CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4714457 | PA      | $4602265.09    | 0.14%             | 2046-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                 | BANK OF NOVA SCOTIA SR UNSECURED 08/29 5.45             | CUSIP: 06418GAK3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    9300000 | PA      | $9710372.73    | 0.30%             | 2029-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.97000 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19713.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAJDA4 PIMCO SWAPTION 3.677 PUT USD 2025122          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -40400000 | NC      | $-188276.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A       | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     783340 | PA      | $788566.60     | 0.02%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-18137.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $3115.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-36035.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                                | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A            | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1532350 | PA      | $1530900.55    | 0.05%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                             | TRINITY SQUARE TRINI 2021 1A AR 144A                    | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2276177 | PA      | $3069136.84    | 0.09%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A11             | CUSIP: 466247ZY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250098 | PA      | $111394.95     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                          | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                 | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191876 | PA      | $173001.71     | 0.01%             | 2037-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                         | SBA TOWER TRUST ASSET BACKED 144A 04/27 1.84            | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1911179.80    | 0.06%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                           | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                 | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7200000 | PA      | $7208165.59    | 0.22%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UABUA2 PIMCO SWAPTION 3.907 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   98300000 | NC      | $43989.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                         | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 A 144A     | CUSIP: 52607QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     117626 | PA      | $117034.16     | 0.00%             | 2028-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-8475.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 05/28 4.751              | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    6800000 | PA      | $6859699.24    | 0.21%             | 2028-05-12      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-RPL1                                    | BINOM SECURITIZATION TRUST BINOM 2022 RPL1 A1 144A      | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1973213 | PA      | $1855188.33    | 0.06%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-14803.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 11/28 4                          | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6926041 | PA      | $377149.38     | 0.01%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-9800.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-18106.86     | -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      | $-8172.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $9515.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $257321.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $749.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZAA3 PIMCO SWAPTION 3.993 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -144000000 | NC      | $-43.20        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-17973.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5584                                                 | FREDDIE MAC FHR 5584 DF                                 | CUSIP: 3137HNCM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5600000 | PA      | $5609072.00    | 0.17%             | 2055-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                 | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     800000 | PA      | $19474.30      | 0.00%             | 2026-08-19      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1230.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $141023.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2023-6                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2023 6 C 144A       | CUSIP: 69547UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1330424 | PA      | $1332937.11    | 0.04%             | 2031-06-16      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $920862.04     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                 | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A      | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $4019487.20    | 0.12%             | 2030-07-15      | Fixed         | 5.36%                 | 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        |    2200000 | PA      | $2229117.11    | 0.07%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797NU7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1272000 | PA      | $1260309.68    | 0.04%             | 2025-12-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A                              | MERRION SQUARE RESIDENTIAL MERRI 2024 1A A 144A         | CUSIP: ACI2PXBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    8561766 | PA      | $10072486.02   | 0.31%             | 2081-03-24      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   15400000 | NC      | $790320.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3        | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     279855 | PA      | $282553.66     | 0.01%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $7482.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                 | ACHV ABS TRUST ACHV 2025 1PL B 144A                     | CUSIP: 00112MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     339880 | PA      | $341460.76     | 0.01%             | 2032-04-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $33440.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  650100000 | PA      | $672285228.09  | 20.59%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                         | KKR FINANCIAL CLO LTD KKR 36A AR 144A                   | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6600000 | PA      | $6600125.80    | 0.20%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5568                                                 | FREDDIE MAC FHR 5568 FE                                 | CUSIP: 3137HMN71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25603343 | PA      | $25742061.61   | 0.79%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                        | SEQUOIA MORTGAGE TRUST SEMT 2024 HYB1 A1A 144A          | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5854500 | PA      | $5898303.49    | 0.18%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT 2.515 03/27/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $183789.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $28874.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 811801 FN 02/35 FLOATING VAR                  | CUSIP: 31406J3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8521 | PA      | $8703.81       | 0.00%             | 2035-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                       | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A         | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     552402 | PA      | $564590.94     | 0.02%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-20981.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                         | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A2A         | CUSIP: 023947AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     890447 | PA      | $891646.53     | 0.03%             | 2028-02-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-908.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-43019.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-50570.68     | -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      | $1678.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                      | BOFA AUTO TRUST BAAT 2024 1A A3 144A                    | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $505051.90     | 0.02%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES2                                     | TOWD POINT MORTGAGE TRUST TPMT 2024 CES2 A1A 144A       | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1230830 | PA      | $1244503.71    | 0.04%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $169477.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                         | DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375           | CUSIP: 23371DAG9<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1065690.27    | 0.03%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-26974.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                           | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     623949 | PA      | $625689.36     | 0.02%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2104.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAB9A6 PIMCO SWAPTION 4.01 PUT USD 20251107          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   92400000 | NC      | $19764.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13041.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $9936.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                       | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A3 144A    | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     450043 | PA      | $453141.72     | 0.01%             | 2029-05-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7                          | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL7 A1 144A   | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5806224 | PA      | $5816615.34    | 0.18%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                                   | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3489875 | PA      | $3494938.99    | 0.11%             | 2033-04-18      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BS9669 FN 10/28 FIXED 4.72                    | CUSIP: 3140LLW72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7716000 | PA      | $7874901.53    | 0.24%             | 2028-10-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10300000 | NC      | $536494.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                           | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3257142 | PA      | $3260778.44    | 0.10%             | 2051-09-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP US IT2.505 03/25/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $682901.47     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $23771.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-150.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                    | GLENCORE FUNDING LLC                                    | CUSIP: 37790AXG3<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    9200000 | PA      | $9182322.20    | 0.28%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $5617.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $359364.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y8A9 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   45000000 | NC      | $2660476.50    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 836552 FN 10/35 FLOATING VAR                  | CUSIP: 31407PL97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26189 | PA      | $26684.71      | 0.00%             | 2035-10-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5573                                                 | FREDDIE MAC FHR 5573 FD                                 | CUSIP: 3137HMSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8312702 | PA      | $8341987.73    | 0.26%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $92.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $19102.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   50000000 | PA      | $50000000.00   | 1.53%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U7ICA1 PIMCO SWAPTION 6.05 PUT USD 20251030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   57800000 | NC      | $5.78          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 124 HF          | CUSIP: 38381PHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4569568 | PA      | $4582267.32    | 0.14%             | 2055-07-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                            | BARCLAYS PLC SR UNSECURED 11/33 VAR                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4400000 | PA      | $5050082.00    | 0.15%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2538093.66   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY41 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7877.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2588828.36   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-103824.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1833688.35    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A     | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1638491 | PA      | $1622847.61    | 0.05%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $26147.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-35166.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                       | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B        | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559801 | PA      | $182974.65     | 0.01%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUXL 30Y BND DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          1 | NC      | $3051.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $6498.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $63.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $14521.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A B 144A     | CUSIP: ACI309NN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2500000 | PA      | $2935126.66    | 0.09%             | 2035-07-15      | Floating      | 3.83%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-553.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750R3X3 PIMCO FXVAN CALL USD TRY 54.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |   -4900000 | NC      | $-37470.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                   | AREIT CRE TRUST AREIT 2022 CRE7 AS 144A                 | CUSIP: 00217VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7461000 | PA      | $7474535.37    | 0.23%             | 2039-06-17      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2257046 | PA      | $2182710.90    | 0.07%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CRB SECURITIZATION TRUST 2023-1                                         | CRB SECURITIZATION TRUST CRB 2023 1 A 144A              | CUSIP: 12670DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     151621 | PA      | $151852.87     | 0.00%             | 2033-10-20      | Fixed         | 6.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $11757.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $50494.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $33732.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                            | ACE SECURITIES CORP. ACE 2007 HE2 A2C                   | CUSIP: 00443PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9648818 | PA      | $5108252.21    | 0.16%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $283.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1792 | NC      | $-199741.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $93.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO I DAC A                                               | ALBACORE EURO CLO ALBAC 1A AR 144A                      | CUSIP: ACI2MJBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    8400000 | PA      | $9874436.93    | 0.30%             | 2034-10-18      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                         | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A            | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2239362 | PA      | $2263664.73    | 0.07%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                       | VERUS SECURITIZATION TRUST VERUS 2024 4 A1 144A         | CUSIP: 92540GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1153619 | PA      | $1170107.44    | 0.04%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-31255.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-1450338.22   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   71754059 | PA      | $72826170.12   | 2.23%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $217154.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HENLEY CLO VII DAC 7A                                                   | HENLEY FUNDING LTD. HNLY 7A AR                          | CUSIP: ACI2QFVZ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3200000 | PA      | $3760710.44    | 0.12%             | 2034-04-25      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+26 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $2147914.94    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $55780.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A1R 144A     | CUSIP: 05684RAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5206853.44    | 0.16%             | 2034-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3988.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-13173.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.79250 11/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23410.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/45 0.75                              | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2880759 | PA      | $2150303.69    | 0.07%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BS9867 FN 11/30 FIXED 5.3                     | CUSIP: 3140LL6D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12480000 | PA      | $13086128.27   | 0.40%             | 2030-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-569355.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $206.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A1        | CUSIP: 74923HAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1155117 | PA      | $998900.93     | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-11621.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/32 8.25        | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   37900000 | PA      | $2166181.41    | 0.07%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10400000 | NC      | $594820.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2100000000 | PA      | $12374074.45   | 0.38%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0553 G2 08/55 FIXED 4                    | CUSIP: 3618N5TK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2039725 | PA      | $1919158.51    | 0.06%             | 2055-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $73535.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-271241.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FN DUS POOL BAML 2595                                   | CUSIP: 990AATUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40370000 | PA      | $40113297.26   | 1.23%             | 2055-11-01      | Fixed         | 4.07%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+24 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $5514895.68    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $243292.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   38500000 | NC      | $2419359.25    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $20287.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FN DUS POOL BAML 2586                                   | CUSIP: 990AATBV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5014271.60    | 0.15%             | 2055-10-01      | Fixed         | 4.44%                 | No            |                  3 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES3                                     | TOWD POINT MORTGAGE TRUST TPMT 2024 CES3 A1 144A        | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3192814 | PA      | $3235573.59    | 0.10%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-121109.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     400000 | PA      | $412883.98     | 0.01%             | 2035-07-19      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J3                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J3 1A1        | CUSIP: 12667GDA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     710561 | PA      | $533095.10     | 0.02%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   16240000 | NC      | $875384.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $58247.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $313.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2004-1                                  | AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M6           | CUSIP: 00252FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     502685 | PA      | $491694.74     | 0.02%             | 2035-01-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $7.65          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                       | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A         | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     835402 | PA      | $838458.77     | 0.03%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST3                              | UPSTART PASS THROUGH TRUST UPSPT 2022 ST3 A 144A        | CUSIP: 91681EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     371076 | PA      | $369834.98     | 0.01%             | 2030-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1.57          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   20500000 | NC      | $1211994.85    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES6 A1A 144A     | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6322702 | PA      | $6390736.35    | 0.20%             | 2055-06-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-51534.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+30 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $959653.77     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $52716.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                     | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2           | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     799114 | PA      | $596482.75     | 0.02%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QA10                                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA10 A1        | CUSIP: 74922NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48810 | PA      | $42484.65      | 0.00%             | 2036-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $8610.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01300 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $70878.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BANK OF AMERICA CORPORATION SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $70994.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/21/23-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $320117.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA3SA3 PIMCO SWAPTION 4.131 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -67300000 | NC      | $-5269.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10300000 | NC      | $669151.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 03/19/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2468059.11    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $784.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                       | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A         | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3245227 | PA      | $3284886.40    | 0.10%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 06/26 6.95        | CUSIP: 345397D26<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202632.83     | 0.01%             | 2026-06-10      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MORTGAGE LOAN TRUST 2007-AR2                               | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR2 A1         | CUSIP: 45670EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10599777 | PA      | $6625447.73    | 0.20%             | 2047-03-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BZ2582 FN 12/29 FIXED 4.3                     | CUSIP: 3140NW2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9321000 | PA      | $9406229.17    | 0.29%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-242065.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $14260.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $7100.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-387.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $30267.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM41 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-968.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV42 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $3163663.30    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                 | FREDDIE MAC FHR 5580 FA                                 | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18869639 | PA      | $19134372.97   | 0.59%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-31103.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                    | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     400000 | PA      | $427630.56     | 0.01%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                          | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                 | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6200078.49    | 0.19%             | 2034-10-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SO. CALIF EDISON                                        | CUSIP: 8424C0XT2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   10100000 | PA      | $10065533.75   | 0.31%             | 2025-10-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     433085 | PA      | $397994.35     | 0.01%             | 2035-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C            | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820273 | PA      | $353858.22     | 0.01%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $665144.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                          | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1623526 | PA      | $1484392.21    | 0.05%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  329360000 | PA      | $336521577.49  | 10.30%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $3148856.00    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $384.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9722 G2 06/54 FIXED 4                    | CUSIP: 36179YYT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34395 | PA      | $32422.24      | 0.00%             | 2054-06-20      | Fixed         | 4.00%                 | 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      | $-25195.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1911171.39    | 0.06%             |  |  |  | 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      | $-41852.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2057.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $17140.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $45631.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-3612.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -8900000 | PA      | $-7819119.39   | -0.24%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1163511.21   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0620 G2 09/55 FIXED 4                    | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $9408901.60    | 0.29%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                      | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2          | CUSIP: 576449AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15954005 | PA      | $4701595.90    | 0.14%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 B 144A     | CUSIP: 14688XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4363000 | PA      | $4393181.05    | 0.13%             | 2031-05-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| LUGO FUNDING DAC 24-1A                                                  | LUGO FUNDING DAC LUGO 2024 1A A 144A                    | CUSIP: ACI2S0075<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    7400017 | PA      | $8706102.99    | 0.27%             | 2066-05-26      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $41924.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86000 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $40536.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-29510.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                     | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR            | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     250000 | PA      | $251025.00     | 0.01%             | 2030-01-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9         | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $190175.00     | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-313.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                                 | FREDDIE MAC FHR 5517 FH                                 | CUSIP: 3137HKGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6542832 | PA      | $6591419.45    | 0.20%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $273340.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD5901 FR 04/54 FIXED 6.5             | CUSIP: 3132DTRW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6162173 | PA      | $6496910.57    | 0.20%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $24120.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DE2026 FN 06/55 FIXED 5                       | CUSIP: 3140BEHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     208047 | PA      | $206496.40     | 0.01%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                       | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A         | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11700000 | PA      | $11671092.81   | 0.36%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-103693.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $113924.43     | 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      | $43.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3865.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                     | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     464272 | PA      | $459787.63     | 0.01%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                                 | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A        | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12400000 | PA      | $12666993.08   | 0.39%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6812090 | PA      | $6451827.84    | 0.20%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAM5A6 PIMCO SWAPTION 3.23 CALL USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   38400000 | NC      | $301079.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                               | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A BR 144A          | CUSIP: ACI2VPZ11<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3950000 | PA      | $4644566.28    | 0.14%             | 2033-08-15      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   42000000 | NC      | $732169.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-7001.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $17781.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $13786.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                               | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |   16100000 | PA      | $16354541.00   | 0.50%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $6331.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+25 MEI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $640439.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.16 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-75592.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                      | PRP ADVISORS, LLC PRPM 2024 RPL3 A1 144A                | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1718303 | PA      | $1681523.17    | 0.05%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $10260.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1                      | BOF URSA FUNDING BVABS 2024 SN1 A3 144A                 | CUSIP: 072926AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1001710 | PA      | $1006122.54    | 0.03%             | 2028-03-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $137.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC5                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A4         | CUSIP: 86359SAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35806 | PA      | $35727.92      | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M2        | CUSIP: 17309MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8281339 | PA      | $8203815.28    | 0.25%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+29 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $1936331.11    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $53781.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $50241.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR          | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5880 | PA      | $6021.95       | 0.00%             | 2035-09-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -888 | NC      | $-2242194.35   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64960 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-99454.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZLA1 PIMCO SWAPTION 4.086 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -116500000 | NC      | $-221.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-30870.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $24300.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $207.25        | 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      | $1577.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $3999.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71988 | PA      | $60534.34      | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -15000000 | NC      | $-9810.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                           | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A           | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6500000 | PA      | $6524846.12    | 0.20%             | 2035-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $29318.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $63181.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   20500000 | NC      | $1144765.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-2090.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 LLC                                                      | M360 LTD. M360 2021 CRE3 B 144A                         | CUSIP: 55379AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3100000 | PA      | $3048675.38    | 0.09%             | 2038-11-22      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.09000 01/22/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $70215.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -59650000 | PA      | $-50264197.77  | -1.54%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $445406.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224385 | PA      | $222152.96     | 0.01%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                       | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 AS 144A    | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10800000 | PA      | $10780682.36   | 0.33%             | 2038-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-54686.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-27400.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                   | GLP CAPITAL LP / FIN II GLP CAPITAL LP / FIN II         | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $607778.40     | 0.02%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                                | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1550 | PA      | $1522.53       | 0.00%             | 2033-06-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                             | LUCA RE LTD UNSECURED 144A 07/31 VAR                    | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |     400000 | PA      | $400080.00     | 0.01%             | 2031-07-22      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-37488.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3        | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1297016 | PA      | $1041612.60    | 0.03%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 960213 FN 09/27 FIXED 5.5                     | CUSIP: 31414AGW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $816.34        | 0.00%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                            | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A              | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2148025 | PA      | $2172507.83    | 0.07%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-36683.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-87                                               | FANNIE MAE FNR 2025 87 FC                               | CUSIP: 3136BXQD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $9020762.55    | 0.28%             | 2055-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1        | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909024 | PA      | $888487.82     | 0.03%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A     | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1458357 | PA      | $1407597.29    | 0.04%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6       | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   22900000 | PA      | $6975759.28    | 0.21%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |  -32490000 | NC      | $-841620.96    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                   | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1         | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6991838 | PA      | $6820280.39    | 0.21%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FN DUS POOL VILLAGE SQ 5                                | CUSIP: 990AAUND0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7425000 | PA      | $7439056.56    | 0.23%             | 2030-10-01      | Fixed         | 4.46%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $9035.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-26669.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                        | ARES CLO LTD ARES 2022 65A A2R 144A                     | CUSIP: 04019FAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1510434.93    | 0.05%             | 2034-07-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RDK0 OTC EPUT FN 5.5 OCT25 97.976563 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  160900000 | NC      | $1.61          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-35009.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3             | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $964442.76     | 0.03%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                 | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11474618 | PA      | $11494230.82   | 0.35%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RJH1 PIMCO CDSOPT PUT USD 0.7 20251217             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        | -195600000 | NC      | $-82437.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $12963.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01500 12/30/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25584.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5260.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1712839.48   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                    | JPMORGAN CHASE + CO SR UNSECURED 10/35 VAR              | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1916951.27    | 0.06%             | 2035-10-22      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85500 11/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $18323.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-24658.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-50165.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1327.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-17567.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                                 | REACH FINANCIAL LLC REACH 2024 1A A 144A                | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     384235 | PA      | $384798.88     | 0.01%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                       | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D        | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5085915 | PA      | $2008134.79    | 0.06%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1195.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS CZK 3.76000 11/01/24-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-1240.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                     | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A       | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     415558 | PA      | $418355.03     | 0.01%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3                           | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A3          | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4481441 | PA      | $4504938.97    | 0.14%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-583951.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                                 | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A2 144A    | CUSIP: 55286TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     233442 | PA      | $233798.94     | 0.01%             | 2032-02-17      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   29400000 | NC      | $2544787.56    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                             | REPUBLIC OF PANAMA EUR TERM LOAN 2                      | CUSIP: BA000HCH9<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | NUSS              | IE        |    2900000 | PA      | $3431310.65    | 0.11%             | 2027-04-01      | Floating      | 4.55%                 | No            |                  3 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-3                                         | ANGEL OAK MORTGAGE TRUST AOMT 2024 3 A1 144A            | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4875374 | PA      | $4852919.70    | 0.15%             | 2068-11-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ0195 FR 11/53 FIXED 6.5             | CUSIP: 3142GQGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20604390 | PA      | $21677602.15   | 0.66%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1703 | NC      | $269433.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-296371.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2         | CUSIP: 03072SVS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2887280 | PA      | $2807371.80    | 0.09%             | 2034-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                      | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A        | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2628104 | PA      | $2302458.42    | 0.07%             | 2046-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY40 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $21555.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-137403.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IFC EMERGING MARKETS SECURITIZATION 2025-1 LTD                          | IFC EMERGING MARKETS SECURITIZ IFCEMS 2025 1A A 144A    | CUSIP: 45174DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4900000 | PA      | $4899525.63    | 0.15%             | 2035-12-31      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                              | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5308798.95    | 0.16%             | 2034-10-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     874400 | PA      | $657644.44     | 0.02%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $17077.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1069.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                             | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    2200000 | PA      | $1748519.30    | 0.05%             | 2048-02-12      | Fixed         | 6.35%                 | 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      | $-80553.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $52402.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                 | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  103000000 | PA      | $2437778.35    | 0.07%             | 2028-05-17      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA3218 FN 12/32 FIXED 3                       | CUSIP: 31418CSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4545930 | PA      | $4402840.87    | 0.13%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $74585.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-12277.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BS9073 FN 07/30 FIXED 4.54                    | CUSIP: 3140LLCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2971000 | PA      | $3017009.53    | 0.09%             | 2030-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM38 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $845.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $669933.08     | 0.02%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8229225 | PA      | $8412052.87    | 0.26%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-133517.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CITIGROUP REPO REPO                     5807            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   21900000 | PA      | $21900000.00   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-13547.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $11346.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 4.542       | CUSIP: 345397ZW6<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399756.40     | 0.01%             | 2026-08-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-40995.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $26803.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     100000 | PA      | $100000.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251103                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-117656.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10238.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3         | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9914 | PA      | $9763.17       | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM3 TRUST                                                     | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM3 A1 144A          | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2841899 | PA      | $2849768.71    | 0.09%             | 2063-02-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.28000 03/04/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-20935.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                      | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        256 | PA      | $255.47        | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1997086.20    | 0.06%             | 2025-10-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1041.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+26 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $1285523.95    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-650562.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $658.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA3MA9 PIMCO SWAPTION 4.75 PUT USD 20260218          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   91300000 | NC      | $58568.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3146078.99   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $139077.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-741.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $399365.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-603134.69    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-600.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5613 FN 02/55 FIXED 5                       | CUSIP: 31418FGX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19999995 | PA      | $19855632.83   | 0.61%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                 | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1         | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3625468 | PA      | $3349157.35    | 0.10%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.99000 12/08/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-65428.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.53000 04/23/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $15904.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR9 TRUST                                    | PROGRESS RESIDENTIAL TRUST PROG 2021 SFR9 A 144A        | CUSIP: 74333QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2168390 | PA      | $2030971.88    | 0.06%             | 2040-11-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                  | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A         | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982133 | PA      | $956419.32     | 0.03%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A    | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1166479.92    | 0.04%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-148580.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                     | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3     | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     560000 | PA      | $500821.27     | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                            | BARCLAYS PLC SR UNSECURED 08/28 VAR                     | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $204340.47     | 0.01%             | 2028-08-09      | Floating      | 5.50%                 | 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      | $5911.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ3702 FR 03/55 FIXED 6.5             | CUSIP: 3142GUDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3076539 | PA      | $3247007.21    | 0.10%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-18450.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST                                                    | GCAT GCAT 2024 NQM2 A1 144A                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1939056 | PA      | $1963333.56    | 0.06%             | 2059-06-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-25793.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2         | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221629 | PA      | $216742.88     | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                        | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4              | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10740000 | PA      | $9643357.93    | 0.30%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $985332.47     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-10825.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -31764904 | PA      | $-32007970.32  | -0.98%            | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A BR 144A    | CUSIP: ACI2W0K37<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $2353182.85    | 0.07%             | 2033-08-15      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO 8 2020-8A                                              | OCEAN TRAILS CLO OCTR 2020 8A ARR                       | CUSIP: 67514UAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6900000 | PA      | $6910516.84    | 0.21%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  101230000 | PA      | $95178076.82   | 2.91%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-171102.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   15000000 | NC      | $15180.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A     | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1100000 | PA      | $1058314.24    | 0.03%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 1 A 144A       | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     123007 | PA      | $123827.80     | 0.00%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375           | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    6500000 | PA      | $6894875.00    | 0.21%             | 2054-11-07      | Fixed         | 8.38%                 | 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      | $-45319.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   86800000 | NC      | $7513182.32    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-146099.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                    | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     200000 | PA      | $215825.44     | 0.01%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                               | STELLANTIS FIN US INC COMPANY GUAR 144A 09/31 2.691     | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $3946295.52    | 0.12%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RD46 OTC ECAL FN 4.5 OCT25 96.546875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -40600000 | NC      | $-239694.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A    | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $3932258.00    | 0.12%             | 2038-04-25      | Fixed         | 3.62%                 | 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      | $-43781.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $26520.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $578.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                              | LCM LTD PARTNERSHIP LCM 36A A1R 144A                    | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $4012877.76    | 0.12%             | 2034-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-51896.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2                   | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2023 2 A2 144A      | CUSIP: 35104AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     986459 | PA      | $990896.36     | 0.03%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                     | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDY3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    4300000 | PA      | $4350445.58    | 0.13%             | 2031-07-08      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-819.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-129.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS10                                  | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M3        | CUSIP: 75405WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3350164 | PA      | $3278713.11    | 0.10%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $73473.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-117326.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-141415.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BZ4174 FN 06/30 FIXED 4.58                    | CUSIP: 3140NYT84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9895000 | PA      | $10074522.12   | 0.31%             | 2030-06-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       5429 | NC      | $-788867.46    | -0.02%            |  |  |  | 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      | $19351.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 2A11      | CUSIP: 751151AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104491 | PA      | $79525.86      | 0.00%             | 2036-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.38000 12/31/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-12732.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1             | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     575070 | PA      | $514010.88     | 0.02%             | 2036-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10600000 | NC      | $626734.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BS9613 FN 10/28 FIXED 4.77                    | CUSIP: 3140LLVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3996000 | PA      | $4084007.90    | 0.13%             | 2028-10-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2892.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-27706.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                     | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679            | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1900000 | PA      | $1747004.12    | 0.05%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                         | BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1              | CUSIP: 07386HUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1427857 | PA      | $891959.34     | 0.03%             | 2035-07-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO VI LTD 2019 6A                                               | TRALEE CDO LTD TRAL 2019 6A AJR 144A                    | CUSIP: 89289EBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2106616.39    | 0.06%             | 2032-10-25      | Floating      | 6.08%                 | 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        |   10450920 | PA      | $9895138.30    | 0.30%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL9 LLC                                                      | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL9 A1 144A   | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2964090 | PA      | $2968554.44    | 0.09%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3          | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12593058 | PA      | $3227697.64    | 0.10%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO1                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO1 A1         | CUSIP: 75115YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5359245 | PA      | $4888390.22    | 0.15%             | 2047-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ0049 FR 10/53 FIXED 5               | CUSIP: 3142GQBT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3493686 | PA      | $3476561.64    | 0.11%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-6465.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TAURUS 2021-1 UK DAC 21-UK1A                                            | TAURUS CMBS TAURS 2021 UK1A A 144A                      | CUSIP: ACI1W1MF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     694896 | PA      | $934131.75     | 0.03%             | 2031-05-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-9978.85      | -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      | $-53202.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   15400000 | NC      | $1020505.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A     | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7002317.84    | 0.21%             | 2037-02-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4          | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1279811 | PA      | $1243864.47    | 0.04%             | 2047-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA POOL AL2279 GN 03/45 FIXED 3.5                     | CUSIP: 36183XQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     895842 | PA      | $837937.18     | 0.03%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5         | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   51900000 | PA      | $2769061.84    | 0.08%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2175.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG       | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     800000 | PA      | $104000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $20291.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  143200000 | PA      | $143200000.00  | 4.38%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7           | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  243600000 | PA      | $13380650.38   | 0.41%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12        | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909643 | PA      | $906432.77     | 0.03%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI PROPERTIES LP SR UNSECURED 04/34 5.75              | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     200000 | PA      | $207935.32     | 0.01%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $551.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   10500000 | PA      | $10831681.46   | 0.33%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2      | CUSIP: 92922F7Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4785292 | PA      | $4398311.01    | 0.13%             | 2045-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-595875.49    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                           | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1606016 | PA      | $1463555.20    | 0.04%             | 2035-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                                 | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2649084 | PA      | $2663253.96    | 0.08%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                    | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4        | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1647940.32    | 0.05%             | 2035-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GSMSC PASS-THROUGH TRUST 2009-4R                                        | GS MORTGAGE SECURITIES CORP. GSMSC 2009 4R 2A3 144A     | CUSIP: 36190GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2084750 | PA      | $1516370.24    | 0.05%             | 2036-12-26      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-666532.97    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34920000 | PA      | $35160787.37   | 1.08%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -29 | NC      | $29648.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                   | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                     | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2048154 | PA      | $2073777.80    | 0.06%             | 2059-03-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+28 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $4291543.16    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOCA STATIC CLO I DAC 1A                                               | AVOCA STATIC CLO AVOST 1A AR 144A                       | CUSIP: ACI2S1S08<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2500661 | PA      | $2933144.01    | 0.09%             | 2035-01-15      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD7277 FR 08/54 FIXED 6.5             | CUSIP: 3132DVCN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5477455 | PA      | $5774094.45    | 0.18%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $11699.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL1 A1A 144A | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4044899 | PA      | $3638824.72    | 0.11%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $11331.20      | 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        |       5494 | PA      | $2332.68       | 0.00%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5             | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5410847 | PA      | $5463857.38    | 0.17%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4000000 | NC      | $28257.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $5754.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BS9220 FN 08/30 FIXED 4.72                    | CUSIP: 3140LLG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1661911 | PA      | $1696933.18    | 0.05%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86600 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $31495.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $8666.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $66938.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 1A1        | CUSIP: 55275NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2477739 | PA      | $1873886.20    | 0.06%             | 2046-12-25      | Floating      | 4.95%                 | 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      | $-6299.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13       | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3668228 | PA      | $3487236.48    | 0.11%             | 2036-12-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $5198.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $1089866.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1                    | BRIDGECREST LENDING AUTO SECUR BLAST 2024 1 A3          | CUSIP: 107933AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      94765 | PA      | $94840.16      | 0.00%             | 2028-01-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SL0034 FR 06/54 FIXED 6.5             | CUSIP: 31427MBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4302008 | PA      | $4552831.95    | 0.14%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                      | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45        | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     965521 | PA      | $996585.18     | 0.03%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                       | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A            | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1382188 | PA      | $1392699.62    | 0.04%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                 | NTT FINANCE CORP SR UNSECURED 144A 07/30 4.876          | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $406554.54     | 0.01%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $12767354.20   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                       | CIM TRUST CIM 2023 R2 A1 144A                           | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7702836 | PA      | $7775188.38    | 0.24%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189103 | PA      | $160575.64     | 0.00%             | 2046-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                 | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  106900000 | PA      | $2506916.81    | 0.08%             | 2028-09-06      | Fixed         | 46.96%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4000000 | NC      | $30139.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-161859.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                       | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                 | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2715527 | PA      | $3191600.13    | 0.10%             | 2032-08-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 05/07/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25155.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                         | VERDELITE STATIC CLO LTD BVSTAT 2024 1A B 144A          | CUSIP: 92338VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    6600000 | PA      | $6608116.09    | 0.20%             | 2032-07-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $16126.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6738093.78   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST               | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/32 3.3         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1000000 | PA      | $921453.51     | 0.03%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $91.67         | 0.00%             |  |  |  | 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      | $-7448.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                            | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A               | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5024432.60    | 0.15%             | 2037-04-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $574.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A     | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2811474 | PA      | $2800604.42    | 0.09%             | 2061-07-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   29000000 | NC      | $29348.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $27552.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $6662.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                      | PRP ADVISORS, LLC PRPM 2024 RPL1 A1 144A                | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2084599 | PA      | $2058661.99    | 0.06%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-260.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                     | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M1          | CUSIP: 07388GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119956 | PA      | $119997.04     | 0.00%             | 2036-08-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $10847.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1        | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     313469 | PA      | $107263.69     | 0.00%             | 2046-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $24869.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-25519.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07100 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $46699.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BZ0976 FN 05/29 FIXED 4.85                    | CUSIP: 3140NVCN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2326000 | PA      | $2375340.11    | 0.07%             | 2029-05-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                   | CROWN CASTLE                                            | CUSIP: 22823PXM0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   18500000 | PA      | $18450142.50   | 0.56%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $769147.84     | 0.02%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                                | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A    | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4141988 | PA      | $4136934.17    | 0.13%             | 2055-05-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251222                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2678.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $17308.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-263585.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146566 | PA      | $49837.17      | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $840.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72300000 | PA      | $71831888.59   | 2.20%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1          | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157327 | PA      | $122371.35     | 0.00%             | 2036-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $7658.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $49229.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22067.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $254145.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A          | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546696 | PA      | $540043.80     | 0.02%             | 2045-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A                        | AVIS BUDGET RENTAL CAR FUNDING AESOP 2022 5A A 144A     | CUSIP: 05377RFV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10800000 | PA      | $10867085.28   | 0.33%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    7440000 | PA      | $2373415.82    | 0.07%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M6            | CUSIP: 1266735Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4948000 | PA      | $4925314.90    | 0.15%             | 2035-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $49866.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5575                                                 | FREDDIE MAC FHR 5575 FC                                 | CUSIP: 3137HN2X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5840159 | PA      | $5865036.75    | 0.18%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                               | FANNIE MAE FNR 2025 78 FA                               | CUSIP: 3136BW7E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12925644 | PA      | $12960900.33   | 0.40%             | 2055-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                      | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A        | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1676119 | PA      | $1677970.71    | 0.05%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-2A                       | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 2A A2 144A    | CUSIP: 78397XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     241564 | PA      | $241848.23     | 0.01%             | 2027-10-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                     | MFRA TRUST MFRA 2021 RPL1 A1 144A                       | CUSIP: 55283QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3227126 | PA      | $2962854.74    | 0.09%             | 2060-07-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $48514.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US INTERNATIONAL DEVELOPMENT FINANCE CORPORATION                        | INT DEVELOPMENT FIN CORP US GOVT GUAR 05/30 4.14        | CUSIP: 690353RQ2<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | NUSS              | US        |     486200 | PA      | $485548.85     | 0.01%             | 2030-05-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-3A                             | EXETER AUTOMOBILE RECEIVABLES EART 2024 3A A3           | CUSIP: 30165AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1119512 | PA      | $1121084.67    | 0.03%             | 2027-12-15      | Fixed         | 5.65%                 | 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        |       6830 | PA      | $5926.70       | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                      | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875             | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     600000 | PA      | $623992.63     | 0.02%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H18 NA          | CUSIP: 38375BUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120199 | PA      | $120212.58     | 0.00%             | 2062-08-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UADHA3 PIMCO SWAPTION 3.103 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   46100000 | NC      | $1645.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $691.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                   | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4          | CUSIP: 251510DG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117265 | PA      | $116156.38     | 0.00%             | 2035-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-173398.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                     | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 1A1       | CUSIP: 07389NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79413 | PA      | $79913.44      | 0.00%             | 2036-10-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                           | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     990456 | PA      | $990365.66     | 0.03%             | 2051-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $31455.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1386.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $28475.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   21400000 | NC      | $1290377.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RDL8 OTC EPUT FN 5.5 OCT25 97.960938 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   32300000 | NC      | $0.32          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     600000 | PA      | $590306.44     | 0.02%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1         | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4143 | PA      | $3994.52       | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9733.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $12175.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV42 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $15037412.31   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $8049.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-182279.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.12800 12/04/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-54226.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4364 | PA      | $4262.79       | 0.00%             | 2035-02-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3663526.14    | 0.11%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12690000 | PA      | $12786425.35   | 0.39%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $38568.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5000000 | NC      | $295608.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-217920.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A B 144A     | CUSIP: ACI2TS586<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3000000 | PA      | $3528626.76    | 0.11%             | 2034-10-15      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2         | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299929 | PA      | $257506.40     | 0.01%             | 2036-02-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                 | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    1000000 | PA      | $24350.58      | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $999.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RE94 OTC EPUT FN 5.5 OCT25 98.0625 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  127500000 | NC      | $1.28          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1404611.88   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RQ0048 FR 09/55 FIXED 5               | CUSIP: 3142J6BS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $99254.87      | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                             | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A  | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4381991 | PA      | $3976775.05    | 0.12%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35             | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2309237.51    | 0.07%             | 2026-03-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5119.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A                          | AURIUM CLO ACLO 4A AR 144A                              | CUSIP: ACI21GDS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    7289209 | PA      | $8562194.37    | 0.26%             | 2031-01-16      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                            | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |    1500000 | PA      | $1761075.99    | 0.05%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC                        | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A     | CUSIP: 05377RHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4421233.77    | 0.14%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $34116.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        522 | NC      | $155783.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BZ1029 FN 06/29 FIXED 4.93                    | CUSIP: 3140NVEB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6254000 | PA      | $6424511.12    | 0.20%             | 2029-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DA9819 FN 02/54 FIXED 6.5                     | CUSIP: 3140YX4D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3744764 | PA      | $3922928.35    | 0.12%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM42 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-4131.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO IV DAC 4A                                             | ALBACORE EURO CLO ALBAC 4A AR 144A                      | CUSIP: ACI2Q3N92<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2600000 | PA      | $3055889.51    | 0.09%             | 2035-07-15      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-WMC1                                      | HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2        | CUSIP: 40430MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3571125 | PA      | $1544742.95    | 0.05%             | 2036-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB7799 FN 01/54 FIXED 6.5                     | CUSIP: 3140QTUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9410046 | PA      | $9898502.65    | 0.30%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4849.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-31931.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A     | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600770 | PA      | $607307.48     | 0.02%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-150868.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     333858 | PA      | $305722.92     | 0.01%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR9                                      | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A        | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1646423 | PA      | $1403970.50    | 0.04%             | 2046-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $27898.92      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23830000 | PA      | $23707360.33   | 0.73%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-417996.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-5134.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1792 | NC      | $-383914.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RA9797 FR 09/53 FIXED 5               | CUSIP: 3133KR3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1760536 | PA      | $1752360.58    | 0.05%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 813595 FN 10/35 FLOATING VAR                  | CUSIP: 31406L3C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12987 | PA      | $13280.89      | 0.00%             | 2035-10-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                    | JACKSON NATL LIFE GLOBAL SECURED 144A 01/30 5.35        | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1552904.69    | 0.05%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                   | CROWN CASTLE 10/25 ZCP                                  | CUSIP: 22823PXP3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   12180000 | PA      | $12143997.14   | 0.37%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.245 09/02/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $50907.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                              | HPS CORPORATE LENDING FU SR UNSECURED 04/32 5.95        | CUSIP: 40440VAK1<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2034150.36    | 0.06%             | 2032-04-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                             | INVESCO EURO CLO INVSC 3A AR                            | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3850000 | PA      | $4524540.11    | 0.14%             | 2038-10-30      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-HX                        | 313EMW9Z2                                               | CUSIP: 990AAVQC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7600000 | PA      | $7600000.00    | 0.23%             | 2055-10-01      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1319571.67    | 0.04%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                      | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A AJR2 144A | CUSIP: 38178DAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    4400000 | PA      | $4425152.42    | 0.14%             | 2035-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-25.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-222539.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12972 | PA      | $11918.71      | 0.00%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $8176.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-367356.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $23085.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V16 MORTGAGE TRUST                                       | BENCHMARK MORTGAGE TRUST BMARK 2025 V16 A3              | CUSIP: 08164RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6300000 | PA      | $6555859.38    | 0.20%             | 2058-08-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                              | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    2300000 | PA      | $702178.83     | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXIV DAC 24A                                     | CORDATUS CLO PLC CORDA 24A A 144A                       | CUSIP: ACI2N2L65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5017611 | PA      | $5901002.97    | 0.18%             | 2034-10-23      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-114713.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BM7579 FN 10/29 VARIABLE                      | CUSIP: 3140JCM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13952000 | PA      | $14027187.89   | 0.43%             | 2029-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RKA4 PIMCO FXVAN PUT USD BRL 5.25000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -9620000 | NC      | $-41827.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                               | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |    2360000 | PA      | $2400934.20    | 0.07%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAAEA2 PIMCO SWAPTION 4.0075 PUT USD 202511          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   91400000 | NC      | $18097.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-662069.16    | -0.02%            |  |  |  | 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      | $813.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT 2024-3 MORTGAGE LOAN TRUST                                         | COLT FUNDING LLC COLT 2024 3 A1 144A                    | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2794564 | PA      | $2837209.29    | 0.09%             | 2069-06-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| THEOREM FUNDING TRUST 2023-1A                                           | THEOREM FUNDING TRUST THRM 2023 1A A 144A               | CUSIP: 88338QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      39642 | PA      | $39688.12      | 0.00%             | 2029-04-15      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33990 | PA      | $32726.36      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BM5807 FN 04/48 FIXED VAR                     | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1394710 | PA      | $1298667.85    | 0.04%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-759321.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-NS1                                  | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 NS1 A4         | CUSIP: 83612QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11105755 | PA      | $10818390.13   | 0.33%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $15168.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38767 | PA      | $35698.48      | 0.00%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG       | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $364000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                     | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4           | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6218170 | PA      | $6030255.17    | 0.18%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2845.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-16986.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY FEDL01+51 *BULLET* M                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $70128518.61   | 2.15%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                             | ILLINOIS ST ILS 07/35 FIXED 7.35                        | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    2500000 | PA      | $2727152.51    | 0.08%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXH1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3090000 | PA      | $3083266.89    | 0.09%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $11066.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2269.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $10507.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS8455 FN 08/53 FIXED VAR                     | CUSIP: 3140XQMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3080770 | PA      | $3150976.26    | 0.10%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89600 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $38307.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-128921.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                      | CANADIAN NATURAL RESOU                                  | CUSIP: 13638WXN7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1595590.24    | 0.05%             | 2025-10-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                  | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1810395 | PA      | $1587376.67    | 0.05%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-54052.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16495.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG       | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $169000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-48507.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  113400000 | NC      | $7126112.70    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+32 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $1276716.71    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-24063.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5765193 | PA      | $5898621.01    | 0.18%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.35000 04/29/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-540.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW1                                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW1 M1        | CUSIP: 46628MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     680692 | PA      | $680327.61     | 0.02%             | 2036-05-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5000000 | NC      | $31413.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $16849.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 787954 G2 02/55 FIXED 6                    | CUSIP: 3622ADWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     645042 | PA      | $653923.10     | 0.02%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.2914 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-28922.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2632.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  227895000 | PA      | $225886880.42  | 6.92%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-OAR3                          | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 OAR3 A1        | CUSIP: 59024JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1873533 | PA      | $1671096.88    | 0.05%             | 2047-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                       | MARS INC SR UNSECURED 144A 03/35 5.2                    | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     900000 | PA      | $920389.98     | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1128320.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+25 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $640594.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4273                                                 | FREDDIE MAC FHR 4273 PF                                 | CUSIP: 3137B66E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     528437 | PA      | $523946.30     | 0.02%             | 2043-11-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $480.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                    | ROYAL BANK OF CANADA SR UNSECURED 08/30 VAR             | CUSIP: 78016HZZ6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1100000 | PA      | $1126065.61    | 0.03%             | 2030-08-02      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                     | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M5             | CUSIP: 70069FBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3625390 | PA      | $3526391.74    | 0.11%             | 2034-09-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-26073.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO10                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO10 A1        | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3106758 | PA      | $2806808.78    | 0.09%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.28000 11/22/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-32901.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-62184.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M3        | CUSIP: 76112BH60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175605 | PA      | $175422.75     | 0.01%             | 2035-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $59339.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3           | CUSIP: 12668UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2865759 | PA      | $2676797.88    | 0.08%             | 2047-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-140697.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0305 G2 04/55 FIXED 4                    | CUSIP: 3618N5KT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     405869 | PA      | $381878.69     | 0.01%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RK89 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -9620000 | NC      | $-17594.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-39560.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                 | HARVEST CLO HARVT 16A ARR 144A                          | CUSIP: ACI1VVSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1001972 | PA      | $1177358.67    | 0.04%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-200886.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $135817.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3589.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $66906.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RHF7 OTC EPUT FN 6.0 NOV25 99.546875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   30500000 | NC      | $732.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $21314.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                 | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A         | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2758515 | PA      | $2606392.60    | 0.08%             | 2037-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -183980000 | PA      | $-168062442.28 | -5.15%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5             | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15700000 | PA      | $16066983.58   | 0.49%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV42 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $3964590.76    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $64.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-7.57         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR                | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $558007.18     | 0.02%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA POOL AL2172 GN 02/45 FIXED 3.5                     | CUSIP: 36183XMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     435323 | PA      | $407174.50     | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                     | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP       | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1100000 | PA      | $1161094.46    | 0.04%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N3                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N3 E 144A     | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7491366 | PA      | $7279683.94    | 0.22%             | 2028-06-12      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM44 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-8665.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $560.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $56906.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 828809 FN 08/35 FLOATING VAR                  | CUSIP: 31407EYE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55864 | PA      | $56796.20      | 0.00%             | 2035-08-01      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   47200000 | NC      | $506715.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $325000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    7300000 | PA      | $7300000.00    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-859579.68    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     346645 | PA      | $324205.96     | 0.01%             | 2046-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-12763.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-144676.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+22 ULO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $413975.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $35009.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZCA1 PIMCO SWAPTION 4.082 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -96600000 | NC      | $-202.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32400000 | PA      | $32170921.96   | 0.99%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TRUST                                                  | PRKCM TRUST PRKCM 2024 HOME1 A1 144A                    | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2460904 | PA      | $2500252.36    | 0.08%             | 2059-05-25      | Fixed         | 6.43%                 | 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      | $-81978.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A        | CUSIP: 61753NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2272569 | PA      | $2034161.97    | 0.06%             | 2037-02-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  328600000 | PA      | $335655203.01  | 10.28%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                  | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A   | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1742219 | PA      | $843782.05     | 0.03%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED REGS 07/39 6.75                    | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    6723000 | PA      | $8053610.19    | 0.25%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A                               | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A    | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2226764 | PA      | $2155443.55    | 0.07%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                          | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                 | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4600000 | PA      | $4599972.03    | 0.14%             | 2035-10-23      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 A A1 144A      | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6723655 | PA      | $6745351.90    | 0.21%             | 2062-09-25      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -59300000 | NC      | $-38782.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB9479 FN 11/54 FIXED 5.5                     | CUSIP: 3140QVQ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8436980 | PA      | $8668089.17    | 0.27%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 2A1        | CUSIP: 55275NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2498662 | PA      | $2237459.38    | 0.07%             | 2046-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                     | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4             | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     513423 | PA      | $507726.10     | 0.02%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                    | TARGA RES CORP 10/25 ZCP                                | CUSIP: 87613EXH3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $7982257.60    | 0.24%             | 2025-10-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.93300 01/06/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42744.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                     | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM8 A1 144A          | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1848935 | PA      | $1876210.58    | 0.06%             | 2064-05-25      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $48563.63      | 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        |    9399755 | PA      | $8944445.30    | 0.27%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                    | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A      | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4441173 | PA      | $4330735.65    | 0.13%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $481000.00     | 0.01%             | 2060-12-31      | None          | 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      | $-83073.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5420 FN 07/54 FIXED 5.5                     | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6126105 | PA      | $6186438.07    | 0.19%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A   | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5843898 | PA      | $5930400.90    | 0.18%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8521 | PA      | $8514.52       | 0.00%             | 2045-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                       | CARLYLE EURO CLO CGMSE 2019 2A A2EB 144A                | CUSIP: ACI2QS621<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $2236910.04    | 0.07%             | 2032-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $846582.18     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ3342 FR 01/55 FIXED 6.5             | CUSIP: 3142GTWC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3407824 | PA      | $3596642.94    | 0.11%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $117294.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.91000 12/29/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-46539.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BZ2331 FN 08/30 FIXED 4.86                    | CUSIP: 3140NWSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4388000 | PA      | $4536725.34    | 0.14%             | 2030-08-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SL0307 FR 01/55 FIXED 5.5             | CUSIP: 31427MKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20357709 | PA      | $20871316.51   | 0.64%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+27.5 JPM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $910615.56     | 0.03%             |  |  |  | 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      | $15822.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                               | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A               | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1500000 | PA      | $1502250.39    | 0.05%             | 2034-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $168464.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7799.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1        | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130164 | PA      | $93899.81      | 0.00%             | 2035-10-20      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                 | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1         | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1020742 | PA      | $777236.49     | 0.02%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-15017.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/18/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8595955.56    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BANK OF AMERICA CORPORATION SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1387.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                       | VERUS SECURITIZATION TRUST VERUS 2024 5 A1 144A         | CUSIP: 92540HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2813754 | PA      | $2854863.40    | 0.09%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $129.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-23511.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                     | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A         | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2233370 | PA      | $2251328.25    | 0.07%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB6418 FN 05/53 FIXED 5                       | CUSIP: 3140QSDY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     629585 | PA      | $627667.36     | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-20950.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE3                                                    | GSAMP TRUST GSAMP 2005 HE3 M4                           | CUSIP: 362341BT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5655390 | PA      | $5541583.84    | 0.17%             | 2035-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $22205.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FA0713 FN 07/54 FIXED VAR                     | CUSIP: 3140W0YK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4113648 | PA      | $4317518.90    | 0.13%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/7.76000 04/09/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $7364.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-3R                                 | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 3R 29A2 144A     | CUSIP: 22943YUN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     637359 | PA      | $425573.63     | 0.01%             | 2037-01-27      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+28 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $1601485.84    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B        | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4246266 | PA      | $2090030.76    | 0.06%             | 2037-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-2096.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   44100000 | NC      | $2822003.10    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $64.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXP3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   24860000 | PA      | $24786516.33   | 0.76%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $15256375.35   | 0.47%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3           | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341156 | PA      | $362312.40     | 0.01%             | 2037-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-11526134.75  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   35200000 | NC      | $2251979.84    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                     | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1       | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25741 | PA      | $14522.52      | 0.00%             | 2035-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-54                                               | FANNIE MAE FNR 2025 54 FM                               | CUSIP: 3136BWNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1330130 | PA      | $1333468.84    | 0.04%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1354538.00   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AJ7493 FN 12/26 FIXED 3                       | CUSIP: 3138E0KF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     309163 | PA      | $306573.18     | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -41120000 | PA      | $-34656279.76  | -1.06%            | 2055-11-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 2245000000 | NC      | $9086413.00    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                           | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 A3          | CUSIP: 80287DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1530023 | PA      | $1536519.05    | 0.05%             | 2028-07-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                           | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A              | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4162197 | PA      | $4368942.96    | 0.13%             | 2041-10-15      | Floating      | 9.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.14800 11/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-90256.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RDG9 OTC EPUT FN 6.0 OCT25 99.65625 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   95900000 | NC      | $0.96          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                    | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR         | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |     400000 | PA      | $401634.72     | 0.01%             | 2028-01-14      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-23732.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2722786.39   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                       | CIM TRUST CIM 2024 R1 A1 144A                           | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2701581 | PA      | $2685086.57    | 0.08%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                 | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7609614 | PA      | $7649624.15    | 0.23%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A                     | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A       | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     449997 | PA      | $445629.11     | 0.01%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10400000 | NC      | $594966.32     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-49699.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033          | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   13000000 | PA      | $13214498.44   | 0.40%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1+24/9.4300 12/25/25-9Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-277343.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-916.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                       | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/35 5.625  | CUSIP: 80413TBL2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    5500000 | PA      | $5868118.30    | 0.18%             | 2035-01-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DD3087 FN 02/55 FIXED 5                       | CUSIP: 3140B3ND0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     389559 | PA      | $386904.61     | 0.01%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2110533.60   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1900000 | NC      | $19162.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                             | CITIBANK NA CITIBANK NA                                 | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3995700.66    | 0.12%             | 2029-08-06      | Fixed         | 4.84%                 | 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      | $19134.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $4786.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1189 | NC      | $1353815.26    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-107931.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY FEDL01+36 JPM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $3261630.95    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                                 | FREDDIE MAC FHR 5557 FM                                 | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1547837 | PA      | $1551749.07    | 0.05%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S1                                                     | GSAMP TRUST GSAMP 2006 S1 A2A                           | CUSIP: 3623413A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43508 | PA      | $3243.45       | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                            | TCI SYMPHONY CLO TSYMP 2016 1A BR2 144A                 | CUSIP: 87229WAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $5011173.00    | 0.15%             | 2032-10-13      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $11221.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $23417.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLOGOLD ASHANTI HOLDINGS PLC                                          | ANGLOGOLD HOLDINGS PLC COMPANY GUAR 11/28 3.375         | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |    2000000 | PA      | $1935765.10    | 0.06%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-100                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 100 FA          | CUSIP: 38385GQ77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10886090 | PA      | $10929320.56   | 0.33%             | 2055-06-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                    | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A        | CUSIP: 40431JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7468636 | PA      | $6482714.89    | 0.20%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RDH7 OTC EPUT FN 6.0 OCT25 99.652344 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  319500000 | NC      | $3.20          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $6768.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE2                                                    | GSAMP TRUST GSAMP 2006 HE2 M1                           | CUSIP: 362334LJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     790668 | PA      | $784471.45     | 0.02%             | 2046-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56525 | PA      | $54793.47      | 0.00%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SO. CALIF EDISON                                        | CUSIP: 8424C0YE4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1292638.75    | 0.04%             | 2025-11-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XII BV 12A                                            | ARES EURO CLO ARESE 12A AR 144A                         | CUSIP: ACI20RGN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4027717 | PA      | $4733822.52    | 0.14%             | 2032-04-20      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   17181458 | PA      | $168567280.27  | 5.16%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS6765 FN 12/53 FIXED VAR                     | CUSIP: 3140XNQT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4180626 | PA      | $4405788.95    | 0.13%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-11580.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $57044.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   31800000 | NC      | $31959.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                            | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000      | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    4501514 | PA      | $3476125.38    | 0.11%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.00000 12/24/24-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-744756.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $402969.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3941586.39    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE PUBLIC WORKS BOARD                                     | CALIFORNIA ST PUBLIC WKS BRD L CASFAC 03/35 FIXED 7.804 | CUSIP: 130685C81<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1265000 | PA      | $1422775.10    | 0.04%             | 2035-03-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-952.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1148910.10    | 0.04%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $26812.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |  220800000 | PA      | $67416162.79   | 2.06%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14051 | PA      | $14010.24      | 0.00%             | 2045-01-25      | Floating      | 4.91%                 | 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        |       6112 | PA      | $6235.42       | 0.00%             | 2035-07-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31990000 | PA      | $32539262.54   | 1.00%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY FEDL01+47 CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $833059.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 12/26 3                          | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   10260802 | PA      | $555904.78     | 0.02%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                            | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51448 | PA      | $51277.89      | 0.00%             | 2042-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR1                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR1 A2         | CUSIP: 17310UAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2379931 | PA      | $2089546.96    | 0.06%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2780.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $127479.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A      | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5220242 | PA      | $5226767.73    | 0.16%             | 2032-10-23      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM13 TRUST                                                    | ONSLOW BAY FINANCIAL LLC OBX 2025 NQM13 A1 144A         | CUSIP: 67121UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6250914 | PA      | $6308671.69    | 0.19%             | 2065-05-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-622243.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.9255 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-12053.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $731.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BM7581 FN 09/31 VARIABLE                      | CUSIP: 3140JCM76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   25571000 | PA      | $26073740.18   | 0.80%             | 2031-09-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $31.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84200 12/26/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6728.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RA8521 FR 02/53 FIXED 5               | CUSIP: 3133KQPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3022574 | PA      | $3012432.63    | 0.09%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A     | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3000000 | PA      | $3522151.99    | 0.11%             | 2035-07-15      | Floating      | 2.96%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $8297.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/43 0.625                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1774553 | PA      | $1349145.61    | 0.04%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB8013 FN 02/54 FIXED 6.5                     | CUSIP: 3140QT3X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23353967 | PA      | $24564980.88   | 0.75%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-6                                       | VERUS SECURITIZATION TRUST VERUS 2025 6 A1 144A         | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6605599 | PA      | $6661602.38    | 0.20%             | 2070-07-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M2             | CUSIP: 61744CKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615261 | PA      | $606356.80     | 0.02%             | 2034-12-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $32.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                               | FANNIE MAE FNR 2025 78 KF                               | CUSIP: 3136BW7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11171586 | PA      | $11210962.61   | 0.34%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4014.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                 | FREDDIE MAC FHR 5580 FC                                 | CUSIP: 3137HMXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14128802 | PA      | $14170846.18   | 0.43%             | 2055-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                      | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A        | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909011 | PA      | $910423.37     | 0.03%             | 2059-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $19990.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15                                 | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1       | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9197 | PA      | $8908.47       | 0.00%             | 2033-06-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS9843 FN 11/54 FIXED VAR                     | CUSIP: 3140XR5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6774185 | PA      | $7137827.25    | 0.22%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8475 FR 11/54 FIXED 5.5             | CUSIP: 3132DWMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  154068959 | PA      | $155530860.63  | 4.76%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3885.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2053.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A          | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     928985 | PA      | $874391.37     | 0.03%             | 2047-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                             | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  349300000 | PA      | $61309668.92   | 1.88%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BR3688 FN 02/51 FIXED 4.5                     | CUSIP: 3140L2C27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287097 | PA      | $279987.31     | 0.01%             | 2051-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-7616.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS7963 FN 05/54 FIXED VAR                     | CUSIP: 3140XPZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8217714 | PA      | $8644650.20    | 0.26%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-4                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1         | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4062370 | PA      | $3998150.84    | 0.12%             | 2037-07-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAD3A8 PIMCO SWAPTION 4.0275 PUT USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -45400000 | NC      | $-94018.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $28413.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5450.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-1422.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-217556.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RDM6 OTC EPUT FN 5.5 OCT25 97.945313 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  160900000 | NC      | $1.61          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                              | LCM LTD PARTNERSHIP LCM 31A AR 144A                     | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3003929.88    | 0.09%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS2661 FN 07/52 FIXED VAR                     | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     492508 | PA      | $481469.07     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4000000 | NC      | $28678.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -71120000 | PA      | $-57339298.78  | -1.76%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 725495 FN 02/34 FLOATING VAR                  | CUSIP: 31402C7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3434 | PA      | $3471.88       | 0.00%             | 2034-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/8.27000 03/19/25-10Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $221410.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAJCA5 PIMCO SWAPTION 3.177 CALL USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   36210000 | NC      | $120351.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $54219.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+26.5 ULO                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $384471.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-22541.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9                         | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC9 2A         | CUSIP: 86358EDG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3619938 | PA      | $3590406.07    | 0.11%             | 2033-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-13373.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $26258.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                   | IVORY COAST SR UNSECURED REGS 03/48 6.625               | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    5100000 | PA      | $5137650.40    | 0.16%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $14532.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $18638.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2589097.46    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2004-WCW1                                            | PARK PLACE SECURITIES INC PPSI 2004 WCW1 M4             | CUSIP: 70069FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $13809141.00   | 0.42%             | 2034-09-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3700000 | NC      | $22228.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4538000 | PA      | $4481179.20    | 0.14%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1800000 | NC      | $17970.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO VI LTD 2019 6A                                               | TRALEE CDO LTD TRAL 2019 6A A1RR 144A                   | CUSIP: 89289EBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1234143 | PA      | $1236378.65    | 0.04%             | 2032-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                               | FANNIE MAE FNR 2024 77 FM                               | CUSIP: 3136BTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8945322 | PA      | $8947585.47    | 0.27%             | 2054-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     582000 | PA      | $577586.58     | 0.02%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SAUDI ARABIA GOVT EM SP JPM                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-8426.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23040.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2019 BV 19-1A                                          | BNPP AM EURO CLO BNPAM 2019 1A AR 144A                  | CUSIP: ACI21M4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5990868 | PA      | $7039853.54    | 0.22%             | 2032-07-22      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                             | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A         | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2884937 | PA      | $2899543.89    | 0.09%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $224.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   59300000 | NC      | $60011.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-160600.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 11/31 2.75                       | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6926041 | PA      | $342737.58     | 0.01%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $91552.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                  | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A3        | CUSIP: 542512AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8478899 | PA      | $2912797.80    | 0.09%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                 | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A          | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4507116.93    | 0.14%             | 2034-08-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-1                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 1 A11 144A     | CUSIP: 17332CBX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2207318 | PA      | $2218745.38    | 0.07%             | 2054-07-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| AMETEK INC                                                              | AMETEK INC 11/25 ZCP                                    | CUSIP: 03111BYL3<br>LEI: 549300WZDEF9KKE40E98 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3876402.66    | 0.12%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-8603.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $9837.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $17956.09      | 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      | $16606.32      | 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      | $-10221.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE2                                    | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE2 M1           | CUSIP: 65536MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3712464 | PA      | $3488282.90    | 0.11%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1527.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BZ4364 FN 08/30 FIXED 4.71                    | CUSIP: 3140NYZ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6045000 | PA      | $6198996.92    | 0.19%             | 2030-08-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR          | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2114977.85    | 0.06%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5000000 | NC      | $279211.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1007.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3467.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                              | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A       | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1612628 | PA      | $2172519.87    | 0.07%             | 2060-06-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $30098.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     418000 | PA      | $415107.16     | 0.01%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FN DUS POOL HART SMITH 10Y                              | CUSIP: 990AATNT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1018000 | PA      | $1039105.11    | 0.03%             | 2035-10-01      | Fixed         | 4.96%                 | No            |                  3 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A      | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2813808 | PA      | $2855693.81    | 0.09%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2311.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $63.57         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1937.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 M1        | CUSIP: 46625SAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7512000 | PA      | $7207623.53    | 0.22%             | 2036-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $20167.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $23342.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                    | GSAMP TRUST GSAMP 2006 HE3 A2D                          | CUSIP: 36244KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7537883 | PA      | $7276042.54    | 0.22%             | 2046-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   54200000 | PA      | $15120364.63   | 0.46%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $31133.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-1                                | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 1A A2 144A     | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     273232 | PA      | $275304.34     | 0.01%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 14.0087 05/12/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-13855.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                    | BAYER US FINANCE LLC COMPANY GUAR 144A 01/29 6.25       | CUSIP: 07274EAJ2<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     200000 | PA      | $210396.84     | 0.01%             | 2029-01-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                      | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A B1R 144A     | CUSIP: 36361UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3100000 | PA      | $3111726.59    | 0.10%             | 2031-07-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY FEDL01+34.5 SOG                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $8586401.29    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                     | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A          | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4438189 | PA      | $4373482.94    | 0.13%             | 2053-04-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST                                                     | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM9 A1 144A          | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2884926 | PA      | $2922118.57    | 0.09%             | 2064-01-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.75000 06/21/23-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6047801.09    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-61515.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING X DAC 10A                                     | MADISON PARK EURO FUNDING CADOG 10A A1 144A             | CUSIP: ACI216KN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1923261 | PA      | $2259146.45    | 0.07%             | 2030-10-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A     | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1000000 | PA      | $1004840.86    | 0.03%             | 2039-03-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $74867.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10691.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+19 ULO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $385755.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.39000 12/12/25-9Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-196024.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                                 | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1509239.70    | 0.05%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXF5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5720000 | PA      | $5709033.04    | 0.17%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $37060.39      | 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        |     914000 | PA      | $938014.18     | 0.03%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9ZYA7 PIMCO SWAPTION 4.0945 PUT USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -76300000 | NC      | $-122.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-340.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-3027.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BU9823 FN 02/52 FIXED 4.5                     | CUSIP: 3140MB4H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246045 | PA      | $239829.86     | 0.01%             | 2052-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                       | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A         | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     502184 | PA      | $520773.75     | 0.02%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM39 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $139.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                      | VICI PROPERTIES LP SR UNSECURED 11/31 5.125             | CUSIP: 925650AH6<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1015199.09    | 0.03%             | 2031-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4330.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+18 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $2156643.75    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                 | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  239800000 | PA      | $13287304.45   | 0.41%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY                   | PENNSYLVANIA ST ECON DEV FING PASDEV 06/39 FIXED 6.532  | CUSIP: 70869PFT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      95000 | PA      | $104726.65     | 0.00%             | 2039-06-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                        | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21             | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300434 | PA      | $199975.29     | 0.01%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UAM6A5 PIMCO SWAPTION 3.758 PUT USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   19200000 | NC      | $142289.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS7160 FN 02/54 FIXED VAR                     | CUSIP: 3140XN5W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11108645 | PA      | $11647933.48   | 0.36%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1697.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCULE-5A                                                                | SCULPTOR EUROPEAN CLO SCULE 5A B2R 144A                 | CUSIP: ACI2YF5Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1300000 | PA      | $1527058.76    | 0.05%             | 2032-01-14      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-142608.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UABKA3 PIMCO SWAPTION 3.16 CALL USD 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9000000 | NC      | $20138.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                                   | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                     | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4200000 | PA      | $4943916.26    | 0.15%             | 2037-01-20      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS6                                   | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M1         | CUSIP: 75406WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7502657 | PA      | $7440769.42    | 0.23%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7605008 | PA      | $5870235.68    | 0.18%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1634.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1224911.91    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-12892.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6492.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-18392.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RLY1 OTC EPUT FN 5.5 DEC25 98.96875 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   63300000 | NC      | $60457.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $3348.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FN DUS POOL BAML 2590 FN DUS POOL BAML 2590             | CUSIP: 990AATMJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16980000 | PA      | $16935677.11   | 0.52%             | 2055-11-01      | Fixed         | 4.30%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1235340.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P1                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P1 A3 144A    | CUSIP: 14688EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     683334 | PA      | $685792.14     | 0.02%             | 2027-12-10      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                    | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12          | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133641 | PA      | $66923.21      | 0.00%             | 2046-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                      | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    2000000 | PA      | $2342817.06    | 0.07%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.32 05/08/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-883.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2948822.28    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                     | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A          | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1992502 | PA      | $2001455.05    | 0.06%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86500 11/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3016.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SL1540 FR 02/55 FIXED 5.5             | CUSIP: 31427NWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2564940 | PA      | $2622516.12    | 0.08%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5388 FN 06/54 FIXED 5.5                     | CUSIP: 31418E7A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4073618 | PA      | $4115557.54    | 0.13%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10000 01/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $43147.97      | 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        |       8552 | PA      | $8248.16       | 0.00%             | 2035-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+24 MEI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $712822.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $0.88          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $29998.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1900000 | NC      | $24122.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 1A1       | CUSIP: 02150QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160597 | PA      | $130002.51     | 0.00%             | 2037-06-25      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-C                                    | COLLEGE AVE STUDENT LOANS CASL 2021 C A2 144A           | CUSIP: 19424WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4082683 | PA      | $3806448.36    | 0.12%             | 2055-07-26      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-2164439.73   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | GOLDMAN SACHS GROUP INC SR UNSECURED 07/35 VAR          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1750667.92    | 0.05%             | 2035-07-23      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-31947.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1230621.50   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1261.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $592937.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $62401.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.67000 04/03/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-6915.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR4                                       | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A             | CUSIP: 23332UEM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94660 | PA      | $84952.57      | 0.00%             | 2045-08-19      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $13526.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-10                                          | GSAA HOME EQUITY TRUST GSAA 2005 10 M5                  | CUSIP: 362341JL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1006846 | PA      | $1003545.62    | 0.03%             | 2035-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-267454.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                               | BIRCH GROVE CLO LTD. BGCLO 19A A1RR 144A                | CUSIP: 09075JAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13400000 | PA      | $13467025.73   | 0.41%             | 2037-07-17      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                                   | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                  | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6305066 | PA      | $6316310.65    | 0.19%             | 2039-06-17      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6624.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $30754.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                    | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   32400000 | PA      | $32400000.00   | 0.99%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-14576.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $244.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5126.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRIFFITH PARK CLO DAC 1A                                                | GRIFFITH PARK CLO GRIPK 1A A1RA 144A                    | CUSIP: ACI21WN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2281827 | PA      | $2680554.92    | 0.08%             | 2031-11-21      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB1                                  | CREDIT BASED ASSET SERVICING A CBASS 2006 CB1 AF3       | CUSIP: 81375WHJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5881594 | PA      | $5064178.01    | 0.16%             | 2036-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2430059 | PA      | $2228440.37    | 0.07%             | 2035-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1706000 | PA      | $1702171.92    | 0.05%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 07/30 3.875                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   41600000 | PA      | $41856750.21   | 1.28%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-1A                           | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 1A A3 144A    | CUSIP: 96043RAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     725592 | PA      | $726750.31     | 0.02%             | 2027-05-17      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB9023 FN 08/54 FIXED 6.5                     | CUSIP: 3140QVAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7474809 | PA      | $7861978.02    | 0.24%             | 2054-08-01      | Fixed         | 6.50%                 | 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      | $12461.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2       | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     595670 | PA      | $159367.79     | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RA7522 FR 06/52 FIXED 4.5             | CUSIP: 3133KPLB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14657 | PA      | $14287.70      | 0.00%             | 2052-06-01      | Fixed         | 4.50%                 | 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      | $13151.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN POINT CLO 10 LTD                                                  | CROWN POINT CLO LTD CRNPT 2021 10A B 144A               | CUSIP: 22846FAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2150000 | PA      | $2154806.39    | 0.07%             | 2034-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10600000 | NC      | $592000.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5             | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9700000 | PA      | $9915489.67    | 0.30%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $163.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $219.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/55 6.15          | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     800000 | PA      | $805354.57     | 0.02%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A     | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1618096 | PA      | $1640942.40    | 0.05%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-44882.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-5334552.70   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                         | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A   | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1769264 | PA      | $2074609.43    | 0.06%             | 2031-01-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A      | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1614 | PA      | $1519.71       | 0.00%             | 2034-05-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-74478.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-7735.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-18323.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                               | FANNIE MAE FNR 2025 66 FL                               | CUSIP: 3136BWZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20363077 | PA      | $20469877.13   | 0.63%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3241.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM36 ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $10856.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  113750000 | PA      | $107193729.83  | 3.28%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV42 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $1922225.80    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 9.39000 11/15/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-7939.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $856.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $28697.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   84100000 | NC      | $84520.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4758441 | PA      | $6415901.67    | 0.20%             | 2053-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $609.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $16260.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2719442.31    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/27 4.271       | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198435.55     | 0.01%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT4                                      | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT4 M1        | CUSIP: 40430KAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10965373 | PA      | $9931068.80    | 0.30%             | 2036-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9Z9A5 PIMCO SWAPTION 3.993 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -141400000 | NC      | $-42.42        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4797.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                           | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20111 | PA      | $20034.99      | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                          | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A   | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     638800 | PA      | $618808.98     | 0.02%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DB0984 FN 04/54 FIXED 6.5                     | CUSIP: 3140AACW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2271980 | PA      | $2385289.61    | 0.07%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-5408.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -84100000 | NC      | $-53487.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2512549.16    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -278 | NC      | $-180623.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD HKD BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $31332.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                                | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/33 5.35        | CUSIP: 63633DAG9<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |     200000 | PA      | $198456.11     | 0.01%             | 2033-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A                    | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 3A A 144A       | CUSIP: 76088TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     199858 | PA      | $199919.85     | 0.01%             | 2030-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4122.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-14875.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-ASP1                                           | ACE SECURITIES CORP. ACE 2007 ASP1 A1                   | CUSIP: 00442JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3466412 | PA      | $1488240.42    | 0.05%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                            | SBNA AUTO LEASE TRUST SBALT 2023 A A4 144A              | CUSIP: 78436TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1519687.80    | 0.05%             | 2028-04-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-0.27         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-18502.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                       | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |    5700000 | PA      | $4323807.39    | 0.13%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A            | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1893984 | PA      | $1683551.72    | 0.05%             | 2047-06-25      | Floating      | 4.47%                 | 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      | $13123.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B       | CUSIP: 59023AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11749736 | PA      | $4542994.16    | 0.14%             | 2037-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                                  | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A        | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4290 | PA      | $4056.99       | 0.00%             | 2034-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A      | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1328951 | PA      | $1349759.68    | 0.04%             | 2050-05-16      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                         | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21109 | PA      | $20239.53      | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3        | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39078 | PA      | $38984.96      | 0.00%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-690.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BZ4620 FN 08/30 FIXED 4.62                    | CUSIP: 3140Q0D25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7932000 | PA      | $8081166.97    | 0.25%             | 2030-08-01      | Fixed         | 4.62%                 | 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      | $-46393.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                                    | VOYA CLO LTD VOYA 2019 2A AR 144A                       | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3735736 | PA      | $3738454.13    | 0.11%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-50384.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $417.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8374.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-24774.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -31800000 | NC      | $-20224.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS MXN 9.43000 10/31/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-14861.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $10802.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR            | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2595000 | PA      | $2523109.81    | 0.08%             | 2028-06-02      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA4                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA4 CB1        | CUSIP: 76110HZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1030074 | PA      | $1034411.20    | 0.03%             | 2034-09-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          1 | NC      | $891.17        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SCULE-5A                                                                | SCULPTOR EUROPEAN CLO SCULE 5A AR 144A                  | CUSIP: ACI21JK97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    6313775 | PA      | $7418336.93    | 0.23%             | 2032-01-14      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3         | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1791533 | PA      | $1588907.62    | 0.05%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $1449.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-30597.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RJ3573 FR 02/55 FIXED 6.5             | CUSIP: 3142GT6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3518549 | PA      | $3713509.41    | 0.11%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375       | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499099.82     | 0.02%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BX99<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    5340000 | PA      | $5333908.66    | 0.16%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $695.72        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                 | FREDDIE MAC FHR 5580 FE                                 | CUSIP: 3137HMXR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17366094 | PA      | $17397186.21   | 0.53%             | 2055-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | MSCI EAFE        DEC25 IFUS 20251219                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       -290 | NC      | $117435.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG       | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3715273 | PA      | $3296522.94    | 0.10%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC1                                  | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC1 M1            | CUSIP: 61744CXN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3683627 | PA      | $3237041.01    | 0.10%             | 2035-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                   | AIR LEASE CORP DISC COML PAPER 10/25 ZCP                | CUSIP: 00913WX26<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2956000 | PA      | $2955261.59    | 0.09%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RDJ3 OTC EPUT FN 6.0 OCT25 99.648438 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   48000000 | NC      | $0.48          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25        | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  494990000 | PA      | $22751769.66   | 0.70%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11519.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-217404.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-11953.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1900000 | NC      | $20275.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-54809.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65             | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1705816.50    | 0.05%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $458.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1B 144A      | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     825252 | PA      | $834346.05     | 0.03%             | 2052-11-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $3195.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   42000000 | NC      | $391839.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                         | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A          | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3960878 | PA      | $3963985.73    | 0.12%             | 2032-07-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                      | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A BR2 144A  | CUSIP: 38178DAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    9400000 | PA      | $9400106.03    | 0.29%             | 2035-04-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-41487.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-8.12         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TRUST                                                    | ATLX TRUST ATLX 2024 RPL1 A1 144A                       | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3707133 | PA      | $3600725.29    | 0.11%             | 2064-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                               | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A     | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2778305 | PA      | $2803654.01    | 0.09%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3038.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1259589 | PA      | $1166011.05    | 0.04%             | 2037-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 06/20/24-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-70297.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  278800000 | PA      | $15860281.41   | 0.49%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 31750RHG5 OTC EPUT FN 6.0 NOV25 99.546875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   70400000 | NC      | $1689.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3650000 | PA      | $3772420.78    | 0.12%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-495820.31    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF INDUSTRY LIMITED                                                | BANK OF INDUSTRY LIMITED 2024 EUR TERM LOAN B1          | CUSIP: BA000BY62<br>LEI: 5493006N5JD4B34R6G14 | Long             | LON              | MUN               | NG        |    4400000 | PA      | $5141714.02    | 0.16%             | 2027-08-23      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1554 | PA      | $1547.22       | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $713.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $504930.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      16000 | PA      | $15811.79      | 0.00%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SEK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-57721.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.68000 08/07/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3783.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.25000 11/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-87648.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB9318 FN 10/54 FIXED 5.5                     | CUSIP: 3140QVK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6458921 | PA      | $6618594.15    | 0.20%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10403.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 7.20500 08/26/25-6Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $-48319.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FS6402 FN 11/53 FIXED VAR                     | CUSIP: 3140XNDG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3642361 | PA      | $3774879.76    | 0.12%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5338.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WISE CLO 2025-2 LTD                                                     | WISE CLO LTD WYZE 2025 2A B 144A                        | CUSIP: 97720BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3120000 | PA      | $3134070.51    | 0.10%             | 2038-04-20      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3413.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-59012.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 156 JF          | CUSIP: 38383BBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   27402745 | PA      | $27414108.92   | 0.84%             | 2055-09-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5585 FN 01/55 FIXED 5                       | CUSIP: 31418FF36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402395 | PA      | $399490.15     | 0.01%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3704381.47    | 0.11%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7       | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   48900000 | PA      | $15706786.19   | 0.48%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                      | FANNIE MAE FNR 2006 15 FC                               | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24432 | PA      | $24091.87      | 0.00%             | 2036-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4426654.76    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1912017.06   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A10                                    | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A4         | CUSIP: 45660LXN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2562687 | PA      | $1104036.63    | 0.03%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | NDDUEAFE TRS EQUITY SOFR+27 BRC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $410630.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-1                           | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 1 A3          | CUSIP: 80288AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     236595 | PA      | $236971.62     | 0.01%             | 2028-04-17      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2025-CP1                                        | NEW YORK MORTGAGE TRUST NYMT 2025 CP1 A1 144A           | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3721159 | PA      | $3574399.01    | 0.11%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-63.69        | -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      | $-19998.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-124.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $466.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH9                                 | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH9 A1         | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3686927 | PA      | $3081942.05    | 0.09%             | 2037-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                       | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1              | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6896 | PA      | $6560.25       | 0.00%             | 2044-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7       | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3300000 | PA      | $1040834.67    | 0.03%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   32062159 | PA      | $33102529.57   | 1.01%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR2                                       | SECURITIZED ASSET BACKED RECEI SABR 2005 FR2 M3         | CUSIP: 81375WEG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1033032 | PA      | $1034916.47    | 0.03%             | 2035-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-4833.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.97000 12/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-1048.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                      | PRP ADVISORS, LLC PRPM 2025 RCF1 A1 144A                | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2683284 | PA      | $2666358.67    | 0.08%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $13389.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                  | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29402 | PA      | $28166.70      | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AE5114 FN 10/30 FIXED 4                       | CUSIP: 31419FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17387 | PA      | $17298.58      | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer