# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007227
**Filing Date:** 2026-5
**Character Count:** 418987
**Document Hash:** 5be214c53dbcb2a20921273228d41bed
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007227.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007227

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**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:** 261043404

**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 RAE PLUS International Fund (Series ID: S000032698)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000100916 | Class A             | PTSOX           |
| C000100919 | Institutional Class | PTSIX           |
| C000100920 | I-2                 | PTIPX           |

## 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 RAE PLUS International Fund

- **b. EDGAR series identifier (if any):** S000032698

- **c. LEI of Series:** FRE2ROMRMC2BDS43QJ31

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

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

- **b. Date as of which information is reported:** 2026-03-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $565315800.93

**Total Liabilities:** $403555694.68

**Net Assets:** $161760106.25

**Cash Not Reported:** $8036232.41

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -15697.143800 | **1-Year:** 28361.336000 | **5-Year:** 36980.094200 | **10-Year:** 1184.568900 | **30-Year:** -5619.140600

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

- **3-Month:** 779.978600 | **1-Year:** 2104.996100 | **5-Year:** 8738.825200 | **10-Year:** 1812.599500 | **30-Year:** 0.990000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000100916 | 7.36%                | 8.05%                | -6.61%               |
| Class ID C000100920 | 7.33%                | 8.13%                | -6.53%               |
| Class ID C000100919 | 7.33%                | 8.18%                | -6.60%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $276430.75               | $375941.54                                 |
| Month 2  | $561221.99               | $-87771.02                                 |
| Month 3  | $-134109.17              | $-2827413.22                               |

**Designated Index Information**

- **Index Name:** MSCI EAFE Value Total Return Index

- **Index Identifier:** M1EA000V

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 11/40 12.75                | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1518900000 | PA      | $402584.06    | 0.25%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                   | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422 | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      24422 | PA      | $24587.54     | 0.02%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $455.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     300000 | PA      | $16685.29     | 0.01%             | 2040-01-31      | Fixed         | 9.00%                 | 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      | $-424313.05   | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                     | CROWN CASTLE                                          | CUSIP: 22823QDG3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1597010.56   | 0.99%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1    | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14092 | PA      | $14251.12     | 0.01%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-153679.40   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1720.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $90.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $80.37        | 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        |     500000 | PA      | $501631.50    | 0.31%             | 2037-01-20      | Floating      | 5.57%                 | 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      | $-69511.91    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01035 06/30/26-27Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7326.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2603.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-3362.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $108.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-60                                                 | FANNIE MAE FNR 2011 60 OA                             | CUSIP: 31397U3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225468 | PA      | $196678.57    | 0.12%             | 2039-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 4 LP 2024-2                                         | PK ALIFT LOAN FUNDING PKAIR 2024 2 A 144A             | CUSIP: 69381EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     457752 | PA      | $459268.75    | 0.28%             | 2039-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $211.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                                   | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4       | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     277485 | PA      | $271760.47    | 0.17%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-631.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -800000 | NC      | $-323.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $7.38         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | FED FUND 30DAY    MAY26 XCBT 20260529                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         14 | NC      | $-22584.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-10258.38    | -0.01%            |  |  |  | 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      | $-11297.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962006 | PA      | $653301.90    | 0.40%             | 2037-05-25      | Floating      | 3.98%                 | 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      | $5319.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2022-6 DAC 6A                                                | OCP EURO CLO OCPE 2022 6A ARR 144A                    | CUSIP: ACI2YHRS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577518.60    | 0.36%             | 2036-07-20      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAMPA4 PIMCO SWAPTION 4.141 PUT USD 2026123        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17600000 | NC      | $24214.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-445310.69   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3520.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 07/26 0.00000                           | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $197783.08    | 0.12%             | 2026-07-21      | None          | 0.00%                 | 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      | $479526.23    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.45500 11/01/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2671.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1282.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-126.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH7                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH7 1A1      | CUSIP: 75115LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19655 | PA      | $19196.19     | 0.01%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-4395.11     | -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      | $1124.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4646.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-623.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $7170.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4163.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1769.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-99.81       | -0.00%            |  |  |  | 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        |     760000 | NC      | $54314.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1279.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $284.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                          | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A       | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99360 | PA      | $55891.39     | 0.03%             | 2037-01-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SJX4 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     390000 | NC      | $2282.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-433.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOX8 PIMCO CDSOPT PUT USD 96.10156250 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-3001.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES CORE S&P 500 ETF                                                  | ISHARES CORE S+P 500 ETF ISHARES CORE S+P 500 ETF     | CUSIP: 464287200<br>LEI: 5493007M4YMN8XL48C14 | Long             | EC               | CORP              | US        |       8352 | NS      | $5455609.92   | 3.37%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -3100000 | NC      | $-2519.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3M CORRA FUTURES  MAR27 XMOD 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          7 | NC      | $-2552.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4974.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $4.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  MAR27 XCME 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -2 | NC      | $2273.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1      | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46678 | PA      | $45692.95     | 0.03%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $249.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAROA4 PIMCO SWAPTION 3.646 PUT USD 2026041        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1200000 | NC      | $-9419.52     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-339.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1              | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5979 | PA      | $5820.74      | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SJW6 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -390000 | NC      | $-769.47      | -0.00%            |  |  |  | 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        |     264686 | PA      | $286281.77    | 0.18%             | 2037-09-25      | Floating      | 4.23%                 | 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        |     200000 | NC      | $294.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7       | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11542 | PA      | $11513.19     | 0.01%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-2399.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2010-16                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 16 B9 144A     | CUSIP: 12644WAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     779414 | PA      | $699629.83    | 0.43%             | 2050-06-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-315.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-743.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-579.78      | -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      | $-46904.72    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                                      | GSAMP TRUST GSAMP 2006 HE8 A2D                        | CUSIP: 3622M8AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605000 | PA      | $538027.95    | 0.33%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP JPM                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $380228.09    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-282.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1949.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1145.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-215.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1     | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33894 | PA      | $31262.10     | 0.02%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A   | CUSIP: 12669HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266407 | PA      | $255939.41    | 0.16%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2953.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC9LA5 PIMCO SWAPTION 4.095 PUT USD 2026040        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2250000 | NC      | $359.55       | 0.00%             |  |  |  | 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        |    6375148 | PA      | $6411443.60   | 3.96%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP BOA                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-69777.06    | -0.04%            |  |  |  | No            |                  3 | On Loan: No      |
| FREDDIE MAC 3218                                                          | FREDDIE MAC FHR 3218 SA                               | CUSIP: 31397BJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107645 | PA      | $10327.26     | 0.01%             | 2036-09-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $2945.00      | 0.00%             |  |  |  | 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      | $-1339.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.48 10/29/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18304.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.49500 10/30/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4735.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1356.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-46.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2536.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A    | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     424828 | PA      | $426795.45    | 0.26%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3032.38      | 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      | $648.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-11.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1229.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80902 12/02/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17257.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $42.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-190.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $579.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1871.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.48500 10/30/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2445.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-566.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2043.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2011-R2                                      | MORGAN STANLEY REREMIC TRUST MSRR 2011 R2 1A 144A     | CUSIP: 61760JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108095 | PA      | $46489.75     | 0.03%             | 2037-05-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     100000 | NC      | $21.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $839.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     170093 | NC      | $542.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                         | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2       | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     301201 | PA      | $283535.68    | 0.18%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-7908.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1667.87     | -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      | $457.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                            | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2160000 | PA      | $2194023.26   | 1.36%             | 2056-05-20      | Fixed         | 6.00%                 | 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      | $63683.38     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A2     | CUSIP: 23243AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35121 | PA      | $34051.91     | 0.02%             | 2046-09-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-40.53       | -0.00%            |  |  |  | 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        |    2900000 | PA      | $913126.24    | 0.56%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2030.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-199.27      | -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      | $-227.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 10/34 7.25                 | CUSIP: ACI17K571<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  935400000 | PA      | $179291.05    | 0.11%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 2A6       | CUSIP: 05949AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9321 | PA      | $9084.92      | 0.01%             | 2034-06-25      | Floating      | 5.69%                 | 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      | $-4277.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $199.62       | 0.00%             |  |  |  | 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      | $416.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-434.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3MO EURO EURIBOR  JUN27 IFLL 20270614                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -2 | NC      | $3667.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-220.69      | -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      | $-5528.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9736.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SEP6 PIMCO FXVAN PUT USD BRL 5.12000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -460000 | NC      | $-2874.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7   | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   30000000 | PA      | $31730.83     | 0.02%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.68500 12/02/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $458.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1647.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $386.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1         | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        260 | PA      | $259.24       | 0.00%             | 2037-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUSA3 PIMCO SWAPTION 3.674 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1634.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A9     | CUSIP: 02149HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258580 | PA      | $127466.04    | 0.08%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2308.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G18659 FG 09/32 FIXED 3             | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277196 | PA      | $269929.48    | 0.17%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 1A3      | CUSIP: 16162WPX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12308 | PA      | $11475.54     | 0.01%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4175.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                    | CHASEFLEX TRUST CFLX 2007 3 2A1                       | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1364760 | PA      | $1210953.75   | 0.75%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-1044.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A2     | CUSIP: 12668AFH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116681 | PA      | $62432.80     | 0.04%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5       | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6222 | PA      | $6634.44      | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | 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      | $-122.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000           | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    5000000 | PA      | $111677.40    | 0.07%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $340.25       | 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      | $4998.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1346.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCA VINTAGE 2026  DEC26 IFED 20261224                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         19 | NC      | $-86245.36    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-8221.86     | -0.01%            |  |  |  | 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        |     465977 | PA      | $452734.00    | 0.28%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $188.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260526                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6658.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-442.90      | -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      | $-2735.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-23297.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-770.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.975 12/16/25-01/02/29 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-31667.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2653.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT TREASURY BILL BILLS 10/26 0.00000               | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     175000 | PA      | $2813.90      | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2045.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1216.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-2                                                         | FANNIE MAE FNR 2010 2 LS                              | CUSIP: 31398G7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     314697 | PA      | $25185.23     | 0.02%             | 2037-05-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-792.93      | -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        |     200000 | PA      | $199661.57    | 0.12%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $284.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1394.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5456.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4400000 | PA      | $257237.97    | 0.16%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-9738.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $493.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-8079.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKZ7 PIMCO CDSOPT PUT USD 99.09765625 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   14100000 | NC      | $12221.88     | 0.01%             |  |  |  | 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      | $-12624.45    | -0.01%            |  |  |  | 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        |     500000 | PA      | $577692.96    | 0.36%             | 2038-08-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     700000 | NC      | $40491.22     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                               | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A C          | CUSIP: 30165BAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $501363.20    | 0.31%             | 2030-01-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A2            | CUSIP: 46630GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82278 | PA      | $80019.17     | 0.05%             | 2035-07-25      | Floating      | 5.53%                 | 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        |     357106 | PA      | $473045.51    | 0.29%             | 2049-12-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-9047.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                             | COUNTRYWIDE HOME LOANS CWHL 2007 5 A51                | CUSIP: 12544VCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11865 | PA      | $5480.22      | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42187.95     | 0.03%             |  |  |  | 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        |     100000 | NC      | $265.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $40933.66     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $200.20       | 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      | $-8512.61     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-95.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1752.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $12379.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-213.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $455.83       | 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      | $3144.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-14979.80    | -0.01%            |  |  |  | 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        |   -2700000 | NC      | $-1090.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-6595.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAURA4 PIMCO SWAPTION 3.174 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $639.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-331.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $59924.78     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $229.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-97.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1490000 | PA      | $1469677.92   | 0.91%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1399999 | PA      | $1285405.21   | 0.79%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $397.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/17/26-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8776.99      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $3566.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-458.86      | -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      | $13258.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2351.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $27527.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-581.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1      | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75179 | PA      | $68459.63     | 0.04%             | 2035-11-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19                 | COUNTRYWIDE HOME LOANS CWHL 2006 19 1A7               | CUSIP: 12543XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332903 | PA      | $147866.42    | 0.09%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-3459.83     | -0.00%            |  |  |  | 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      | $2333.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260401                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1494.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4670000 | PA      | $258660.80    | 0.16%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1115.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1833.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $79.58        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                            | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500510.41    | 0.31%             | 2034-10-20      | Floating      | 4.81%                 | 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      | $-7095.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                        | KKR FINANCIAL CLO LTD KKR 33A AR 144A                 | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1001026.23   | 0.62%             | 2034-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A3     | CUSIP: 92922F4C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193082 | PA      | $183455.78    | 0.11%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET BK 2002-3                                     | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1        | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27629 | PA      | $27517.65     | 0.02%             | 2032-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $5942.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $21116.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1400000 | NC      | $79280.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $51151.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-604.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 3A1        | CUSIP: 05952GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26488 | PA      | $23114.66     | 0.01%             | 2037-06-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF        | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3270000 | PA      | $3296160.87   | 2.04%             | 2055-07-20      | Floating      | 5.02%                 | 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      | $-8364.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2       | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8078 | PA      | $7995.05      | 0.00%             | 2034-02-25      | Fixed         | 5.28%                 | 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        |     200000 | NC      | $344.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $13571.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-29.25       | -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        |  104300000 | NC      | $646576.56    | 0.40%             |  |  |  | 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        |     200000 | NC      | $399.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2026-21                                                 | FANNIE MAE FNR 2026 21 YF                             | CUSIP: 3136G5FC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4300000 | PA      | $4287850.35   | 2.65%             | 2055-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $27.62        | 0.00%             |  |  |  | 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      | $-1714.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-717.51      | -0.00%            |  |  |  | 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      | $-971.18      | -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        |   -3800000 | NC      | $-1539.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-19614.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC0UA4 PIMCO SWAPTION 3.3 CALL USD 20260602        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $4542.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-6854.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $66571.25     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-106.56      | -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      | $-67.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-70                                                 | FANNIE MAE FNR 2007 70 FA                             | CUSIP: 31396WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4100 | PA      | $4061.34      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.487 12/07/21-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $18276.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-79141.80    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-8822.02     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-201.97      | -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        |     500000 | PA      | $495038.99    | 0.31%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-13100.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR12                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR12 2A1    | CUSIP: 94984GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4053 | PA      | $3926.91      | 0.00%             | 2036-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5951.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                     | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5    | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     300000 | PA      | $298126.39    | 0.18%             | 2029-03-24      | Fixed         | 4.50%                 | 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        |     300000 | PA      | $301997.09    | 0.19%             | 2028-03-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $572.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.65000 01/08/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $2507.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $315.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SO42 PIMCO CDSOPT PUT USD 96.85937500 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2500000 | NC      | $-56.50       | -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        |   -1300000 | NC      | $-525.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1     | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122362 | PA      | $113958.50    | 0.07%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5.5 JUMBOS                          | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2190000 | PA      | $2199841.29   | 1.36%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.52 03/27/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3662.75      | 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      | $-288.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-847.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.46000 04/01/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3661.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-1448.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1      | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157416 | PA      | $152316.24    | 0.09%             | 2036-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-511.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3611940.66   | 2.23%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4140.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.477 11/07/24-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1392.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1         | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353927 | PA      | $60168.82     | 0.04%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A    | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33413 | PA      | $30100.80     | 0.02%             | 2046-12-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5484                                                   | FREDDIE MAC FHR 5484 FD                               | CUSIP: 3137HHKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     522011 | PA      | $525797.46    | 0.33%             | 2054-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 10/30 19.698              | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   10100000 | PA      | $181935.21    | 0.11%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360529 NIGERIA OMO BILL                            | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |  132700000 | PA      | $83151.45     | 0.05%             | 2027-01-28      | None          | 0.00%                 | 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        |     150000 | PA      | $150292.85    | 0.09%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC63A1 PIMCO SWAPTION 3.4425 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2300000 | NC      | $10628.07     | 0.01%             |  |  |  | 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        |    1200000 | PA      | $1198148.44   | 0.74%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -170093 | NC      | $-150.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $607.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3.12         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-457.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-4624.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC7LA9 PIMCO SWAPTION 3.651 CALL USD 202606        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $17758.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-7.74        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QE8001 FR 08/52 FIXED 4.5           | CUSIP: 3133BH3J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342399 | PA      | $331692.22    | 0.21%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360503 NIGERIA OMO BILL                            | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  316800000 | PA      | $199113.68    | 0.12%             | 2027-01-21      | None          | 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        |    1300000 | NC      | $77006.28     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-556.68      | -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        |    1900000 | NC      | $11893.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WF         | CUSIP: 38380VEU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76935 | PA      | $75076.67     | 0.05%             | 2047-08-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1343135.10   | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS2937 FN 04/43 FIXED VAR                   | CUSIP: 3140XJHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2339866 | PA      | $2260355.14   | 1.40%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $12.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   11900000 | PA      | $11900000.00  | 7.36%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULT TRS EQUITY SOFR+97 MYI                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-511695.01   | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260403                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $630.97       | 0.00%             |  |  |  | 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        |     100000 | NC      | $348.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $0.81         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1895.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BOA                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $84050.50     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $752.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4560000 | PA      | $-3832715.66  | -2.37%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.77500 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1442.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-551.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A  | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155130 | PA      | $156135.24    | 0.10%             | 2029-01-10      | Fixed         | 5.62%                 | 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        |    2100000 | NC      | $6050.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                              | PPM CLO, LTD. PPMC 2021 5A AR 144A                    | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500588.60    | 0.31%             | 2034-10-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                                  | ARCANO EURO CLO ARCAN 2A B 144A                       | CUSIP: ACI2YDL36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $578559.50    | 0.36%             | 2039-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1580.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $497.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-4                                            | GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2                | CUSIP: 36228FD45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11923 | PA      | $11757.52     | 0.01%             | 2032-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-405.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC62A2 PIMCO SWAPTION 3.7825 PUT USD 202606        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2300000 | NC      | $-21626.90    | -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      | $-9074.02     | -0.01%            |  |  |  | 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        |      98568 | PA      | $99101.99     | 0.06%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $58365.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/35 4.25                            | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      70000 | PA      | $69748.44     | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-9.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A6     | CUSIP: 92922F3L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21738 | PA      | $20036.54     | 0.01%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5       | CUSIP: 32027GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132601 | PA      | $125179.76    | 0.08%             | 2036-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-713.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.51500 11/06/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2210.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBKLA1 PIMCO SWAPTION 3.7625 PUT USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2200000 | NC      | $-8175.86     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SB46 PIMCO CDSOPT PUT USD 0.65 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |    9100000 | NC      | $21798.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBSEA2 PIMCO SWAPTION 4.049 PUT USD 2026040        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-513.76      | -0.00%            |  |  |  | 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        |     100000 | NC      | $377.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -100000 | NC      | $-124.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1415.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $432.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1041.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1      | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39776 | PA      | $31739.65     | 0.02%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3093.49     | -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      | $-12435.36    | -0.01%            |  |  |  | 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      | $-1079.04     | -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        |    4100000 | NC      | $232178.90    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2193.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                        | VICI PROPERTIES LP SR UNSECURED 02/28 4.75            | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100128.16    | 0.06%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 02/33 13.25                | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 1314800000 | PA      | $352513.78    | 0.22%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A      | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     916399 | PA      | $874941.81    | 0.54%             | 2047-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-399.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.74200 03/26/26-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3158.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR1 A1A     | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     626951 | PA      | $537465.95    | 0.33%             | 2036-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-3233.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-59234.18    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $949.82       | 0.00%             |  |  |  | No            |                  2 | 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        |     300000 | PA      | $305651.46    | 0.19%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBFQA7 PIMCO SWAPTION 3.2675 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2600000 | NC      | $0.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1        | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     331633 | PA      | $130624.71    | 0.08%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7     | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     917285 | PA      | $474649.06    | 0.29%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   43630000 | PA      | $45103018.17  | 27.88%            | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-4.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $31.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-28.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2373.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-183161.48   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1069.56      | 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      | $-424.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UARPA3 PIMCO SWAPTION 3.146 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $119.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.81 01/27/26-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-22765.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-9513.33     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLT0 PIMCO CDSOPT CALL USD 98.20703125 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-4759.92     | -0.00%            |  |  |  | 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      | $807.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $369.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260724                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $10908.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1742.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 07/26 0.00000            | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    2900000 | PA      | $542191.96    | 0.34%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-244.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $57048.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                               | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A B          | CUSIP: 30165BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     493081 | PA      | $493697.57    | 0.31%             | 2029-04-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-218.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -7 | NC      | $71012.35     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-199.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-3010.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAOYA0 PIMCO SWAPTION 3.857 PUT USD 2026100        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17700000 | NC      | $33822.93     | 0.02%             |  |  |  | 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        |     600425 | PA      | $604057.65    | 0.37%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QZ5154 FR 10/55 FIXED 6             | CUSIP: 31427CWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98538 | PA      | $100967.37    | 0.06%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/8.59000 09/02/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $54544.11     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000             | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     900000 | PA      | $52542.39     | 0.03%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-762.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5690.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-8768.35     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A1B       | CUSIP: 93935HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     677033 | PA      | $172513.06    | 0.11%             | 2036-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5300000 | NC      | $340166.19    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-199.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 07/39 6.75                  | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $346789.74    | 0.21%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1611.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $0.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93000 03/24/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1710.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $24802.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                             | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A1                | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94857 | PA      | $84734.68     | 0.05%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-133.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $190.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.48500 12/02/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-218.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1069.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-755.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4105.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A1        | CUSIP: 05950PAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     608549 | PA      | $555291.23    | 0.34%             | 2046-09-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261207                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $23422.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1         | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      23409 | PA      | $23680.47     | 0.01%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2080000 | PA      | $2089905.29   | 1.29%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-147.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84200 03/04/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2879.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.5025 03/25/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4134.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-145.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $126115.77    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $13.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                 | FANNIE MAE FNR 2007 32 SA                             | CUSIP: 31396VDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     340737 | PA      | $28493.85     | 0.02%             | 2037-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $190.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A2      | CUSIP: 74923HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89783 | PA      | $74934.33     | 0.05%             | 2037-03-25      | Fixed         | 6.00%                 | 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        |     159122 | PA      | $160069.93    | 0.10%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2535.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-262.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A          | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1775275 | PA      | $718062.27    | 0.44%             | 2037-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-247.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-725.25      | -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        |   -1500000 | NC      | $-607.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $59982.52     | 0.04%             |  |  |  | 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      | $-18740.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1196.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-83.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-2097.31     | -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      | $-56914.43    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25             | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1800000 | PA      | $103875.30    | 0.06%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20C                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20C 1         | CUSIP: 83162CRR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2950 | PA      | $2978.16      | 0.00%             | 2028-03-01      | Fixed         | 5.49%                 | 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        |     698073 | PA      | $264511.00    | 0.16%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-489.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2741.74     | -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      | $-7121.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2025-2A                                          | FOUNDATION FINANCE TRUST FFIN 2025 2A A 144A          | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     427681 | PA      | $425425.08    | 0.26%             | 2052-04-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-16171.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 4.67600 01/09/26-5Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $444.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.45000 10/11/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2723.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A       | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19540 | PA      | $20005.32     | 0.01%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $686.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-8143.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $18527.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II2A        | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41600 | PA      | $40897.35     | 0.03%             | 2044-03-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                 | FANNIE MAE FNR 2007 32 JS                             | CUSIP: 31396VDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     578311 | PA      | $72850.27     | 0.05%             | 2037-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1      | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132400 | PA      | $116857.10    | 0.07%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1073.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                        | FANNIE MAE FNR 2009 87 HS                             | CUSIP: 31398FR45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52063 | PA      | $4411.24      | 0.00%             | 2039-11-25      | Floating      | 2.37%                 | 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      | $980.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1886.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-274.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98235 12/02/24-2Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13078.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XIV DAC 14A                                        | CORDATUS CLO PLC CORDA 14A A1R 144A                   | CUSIP: ACI1YKS43<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     257732 | PA      | $298212.79    | 0.18%             | 2032-05-22      | Floating      | 2.87%                 | 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        |      22166 | PA      | $22194.49     | 0.01%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $160.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2992.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $620.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.67900 03/10/26-10Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13436.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.985 01/27/26-01/02/31 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-18035.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                            | COUNTRYWIDE HOME LOANS CWHL 2004 15 4A                | CUSIP: 12669FL50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11131 | PA      | $11160.26     | 0.01%             | 2034-10-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20270128                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $4150.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-22.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A11    | CUSIP: 12668BZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67582 | PA      | $31416.45     | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A                      | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A B 144A   | CUSIP: ACI2X1SW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $579148.87    | 0.36%             | 2035-02-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 08/29 11                   | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 5969300000 | PA      | $1505043.88   | 0.93%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCAAA4 PIMCO SWAPTION 3.889 PUT USD 2026043        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2300000 | NC      | $7176.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-4                                             | GSAA HOME EQUITY TRUST GSAA 2006 4 2A1                | CUSIP: 362334FF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     535399 | PA      | $64300.00     | 0.04%             | 2036-03-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1534.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5521                                                   | FREDDIE MAC FHR 5521 AF                               | CUSIP: 3137HKCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     941713 | PA      | $949446.91    | 0.59%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8DA6 PIMCO SWAPTION 3.599 CALL USD 202606        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2200000 | NC      | $17017.00     | 0.01%             |  |  |  | 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      | $-711.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 2A6          | CUSIP: 22942KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24791 | PA      | $21052.09     | 0.01%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1278.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-3136.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                          | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600388.09    | 0.37%             | 2034-07-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1026.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                          | FREDDIE MAC FHR 3311 FN                               | CUSIP: 31397H6P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4073 | PA      | $4024.98      | 0.00%             | 2037-05-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                           | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A  | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600196.72    | 0.37%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-217.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $105.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-1530.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 1A2                  | CUSIP: 52520QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248545 | PA      | $109877.38    | 0.07%             | 2036-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR6 A1       | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31468 | PA      | $31024.30     | 0.02%             | 2033-06-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-171.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SC60 PIMCO CDSOPT PUT USD 102.32812500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-3731.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1216.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 2A3A               | CUSIP: 3622ECAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     507316 | PA      | $219226.14    | 0.14%             | 2047-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.47000 11/01/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2555.85     | -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        |    4418188 | PA      | $4451394.02   | 2.75%             | 2055-09-25      | Floating      | 4.61%                 | 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      | $26896.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-49.73       | -0.00%            |  |  |  | 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        |    1402889 | PA      | $1414815.05   | 0.87%             | 2055-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO V DAC 1A                                                | TRINITAS EURO CLO TRNTE 1A AR 144A                    | CUSIP: ACI2XTDT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $577763.00    | 0.36%             | 2039-07-15      | Floating      | 3.23%                 | 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        |     200000 | NC      | $347.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $682.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 6A1       | CUSIP: 59023CAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91018 | PA      | $86604.56     | 0.05%             | 2036-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1176.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-621.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260804                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2407.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.72250 12/01/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |          1 | NC      | $2962.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $3343.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $169.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                  | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 1A1     | CUSIP: 66988UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     904377 | PA      | $333203.93    | 0.21%             | 2046-09-25      | Floating      | 4.20%                 | 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        |    1500000 | PA      | $440133.34    | 0.27%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 05/34 VAR                   | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $420139.13    | 0.26%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP MYC                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $42025.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                                                   | HCA INC DISC COML PAPER                               | CUSIP: 40412DDP1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2393440.08   | 1.48%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260414                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5700.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1219.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAODA3 PIMCO SWAPTION 4.093 PUT USD 2027010        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   16500000 | NC      | $24969.45     | 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      | $-21600.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-575.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 01/35 11.75                | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 7803700000 | PA      | $1934817.98   | 1.20%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF4               | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     494103 | PA      | $106395.78    | 0.07%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $284.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581      | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     640000 | PA      | $658515.49    | 0.41%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| DRYDEN 60 CLO LTD                                                         | DRYDEN SENIOR LOAN FUND DRSLF 2018 60A A 144A         | CUSIP: 26251NAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      92763 | PA      | $92861.61     | 0.06%             | 2031-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1094.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                       | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB     | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77273 | PA      | $74778.94     | 0.05%             | 2033-06-25      | Floating      | 4.37%                 | 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        |     100000 | NC      | $395.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $48.93        | 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      | $1621.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $55.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5              | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26027 | PA      | $23736.97     | 0.01%             | 2035-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.74800 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1892.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $817.69       | 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      | $342.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR5                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 4A1      | CUSIP: 45660LGV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     477418 | PA      | $320941.22    | 0.20%             | 2035-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A3     | CUSIP: 02147QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131591 | PA      | $71754.79     | 0.04%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2494.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33590000 | PA      | $34190679.22  | 21.14%            | 2056-06-11      | Fixed         | 6.00%                 | 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      | $474.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25             | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   23070000 | PA      | $1095907.65   | 0.68%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-6216.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-10072.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $166019.53    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260818                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-13474.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1768.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US LONG BOND(CBT) JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         14 | NC      | $-56347.44    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLB9 PIMCO CDSOPT PUT USD 102.17187500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3100000 | NC      | $-16833.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-24.89       | -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        |     200000 | PA      | $201150.64    | 0.12%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-4457.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-41.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $4972.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1965.91     | -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      | $-6064.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     900000 | NC      | $53014.95     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $4009.35      | 0.00%             |  |  |  | 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        |     200000 | NC      | $261.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1549.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $202.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND FUTURE  JUN26 XEUR 20260608                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         68 | NC      | $-246470.38   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $38.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2058.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -269907 | NC      | $-215.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1144.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1653.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2006-11                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 11 2A2        | CUSIP: 61749WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122215 | PA      | $48119.81     | 0.03%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1305.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                  | FANNIEMAE ACES FNA 2020 M33 X2                        | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     450890 | PA      | $20578.89     | 0.01%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.46500 10/30/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2600.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                            | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A         | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37526 | PA      | $36589.15     | 0.02%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-22224.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $25672.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                   | FREDDIE MAC FHR 3922 GS                               | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     468428 | PA      | $446315.05    | 0.28%             | 2041-09-15      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260727                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $2570.09      | 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        |   10500000 | PA      | $3155461.36   | 1.95%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1543.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A6    | CUSIP: 12668AZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370601 | PA      | $255873.56    | 0.16%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.88400 03/25/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-503.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A3     | CUSIP: 83613FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     553614 | PA      | $437515.35    | 0.27%             | 2037-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $111532.60    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                        | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1           | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        980 | PA      | $963.32       | 0.00%             | 2036-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.43500 11/05/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8494.86     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKX2 PIMCO CDSOPT CALL USD 0.55 20260617         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -2400000 | NC      | $-2790.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AJ7522 FN 01/27 FIXED 3                     | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16902 | PA      | $16805.18     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-7021.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8       | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   40000000 | PA      | $43977.28     | 0.03%             | 2029-10-01      | Fixed         | 5.80%                 | 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        |     400000 | PA      | $396032.95    | 0.24%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A       | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27021 | PA      | $27038.85     | 0.02%             | 2032-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $460.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                   | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A26      | CUSIP: 55274QBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157116 | PA      | $83144.20     | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-534.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-38819.78    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-53.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-1169.65     | -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        |     100000 | NC      | $344.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 3YR BOND FUT JUN26 XSFE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -4 | NC      | $897.84       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-1135.77     | -0.00%            |  |  |  | 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      | $503.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2366.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-6635.87     | -0.00%            |  |  |  | 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        |     500000 | PA      | $504259.60    | 0.31%             | 2031-05-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $640.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84199 12/02/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6945.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -900000 | NC      | $-2658.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1448.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                            | FREMONT HOME LOAN TRUST FHLT 2006 D 1A1               | CUSIP: 35729VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407291 | PA      | $242373.07    | 0.15%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1700000 | NC      | $-13893.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 5.00000 09/16/26-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-9307.82     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-375.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                                      | IMPAC CMB TRUST IMM 2004 10 1A1                       | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122669 | PA      | $120626.24    | 0.07%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4190.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-3296.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9869.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-111                                                       | FANNIE MAE FNR 2010 111 FC                            | CUSIP: 31398NWE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12316 | PA      | $12248.58     | 0.01%             | 2040-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SAUDI ARABIA GOVT EM SP BRC                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2566.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875            | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   15700000 | PA      | $911868.80    | 0.56%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13320000 | PA      | $13121158.51  | 8.11%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                  | LEHMAN XS TRUST LXS 2006 GP4 3A5                      | CUSIP: 525161AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     396027 | PA      | $417389.19    | 0.26%             | 2046-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-7181.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-7058.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 03/18/26-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4869.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-936.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                          | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3200000 | PA      | $2935577.06   | 1.81%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $40.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1232.76     | -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        |     779681 | PA      | $786682.63    | 0.49%             | 2055-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-10067.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                      | CUSIP: 49271KDD3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1697431.30   | 1.05%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC75A7 PIMCO SWAPTION 3.7325 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1400000 | NC      | $-6734.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.37500 10/15/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3311.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                        | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2           | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9012 | PA      | $8311.66      | 0.01%             | 2035-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $618.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-1534.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1829.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $7144.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $1440.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S7L3 PIMCO CDSOPT PUT USD 0.65 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   33900000 | NC      | $63602.16     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11651.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                            | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2               | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1442474 | PA      | $569385.67    | 0.35%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $326.18       | 0.00%             |  |  |  | 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      | $-55511.21    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-76.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2514.88      | 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        |    1900000 | NC      | $97557.78     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                     | CQS US CLO LTD CQS 2021 1A AR 144A                    | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $600199.25    | 0.37%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-6147.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-25.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260421                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $196.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR+39 JPM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-7475836.95  | -4.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2077.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $284.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11.46        | 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        |     100000 | NC      | $287.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5 JUMBOS                            | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4380000 | PA      | $4329482.83   | 2.68%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2023-3A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2023 3A A2 144A    | CUSIP: 525931AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     388226 | PA      | $394633.89    | 0.24%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-66                                                        | FANNIE MAE FNR 2003 66 SA                             | CUSIP: 31393C4W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29805 | PA      | $2638.05      | 0.00%             | 2033-07-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1        | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     337171 | PA      | $325293.33    | 0.20%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1      | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22950 | PA      | $22344.56     | 0.01%             | 2035-10-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -21 | NC      | $-15895.60    | -0.01%            |  |  |  | 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        |    3800000 | NC      | $5464.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2307.83      | 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        |     180000 | PA      | $150885.00    | 0.09%             | 2030-07-31      | None          | 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      | $-446.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $120.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.33675 07/06/26-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14195.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1584.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1886.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $901.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $10.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $13134.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-244.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-2PL                                                   | ACHV ABS TRUST ACHV 2024 2PL B 144A                   | CUSIP: 00092HAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     125858 | PA      | $126708.38    | 0.08%             | 2031-10-27      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3771.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                             | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271202 | PA      | $86111.95     | 0.05%             | 2036-03-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $169.90       | 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      | $-481.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUZA5 PIMCO SWAPTION 3.56 PUT USD 20260428        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-24900.07    | -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        |   90000000 | PA      | $440016.38    | 0.27%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6004.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1337.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1600000 | NC      | $89204.00     | 0.06%             |  |  |  | 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        |     401000 | PA      | $124978.47    | 0.08%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1033.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-18756.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $345.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0207 FR 01/55 FIXED 5             | CUSIP: 31427MGR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140176 | PA      | $139801.86    | 0.09%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2      | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38739 | PA      | $37639.04     | 0.02%             | 2035-08-25      | Floating      | 5.26%                 | 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        |     300000 | PA      | $304285.78    | 0.19%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $764.77       | 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        |    6200000 | PA      | $139029.67    | 0.09%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1065.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SB53 PIMCO CDSOPT CALL USD 0.5 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -11400000 | NC      | $-4504.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0032 FN 12/54 FIXED VAR                   | CUSIP: 3140W0BA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178635 | PA      | $178159.03    | 0.11%             | 2054-12-01      | Fixed         | 5.00%                 | 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      | $2166.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-817.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC8                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC8 M3       | CUSIP: 86358EEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     420029 | PA      | $386421.01    | 0.24%             | 2033-08-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1900000 | NC      | $112547.64    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                    | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A  | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176698 | PA      | $171798.35    | 0.11%             | 2036-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-FX1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 FX1 A3       | CUSIP: 17309YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288320 | PA      | $168175.68    | 0.10%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $2560.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-114.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-22                                                 | FANNIE MAE FNR 2007 22 SW                             | CUSIP: 31396PT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94957 | PA      | $7583.35      | 0.00%             | 2037-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A      | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     701146 | PA      | $638376.12    | 0.39%             | 2037-08-25      | Floating      | 4.84%                 | 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      | $-2827.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR               | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     100000 | PA      | $2250.36      | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $29623.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-319.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5       | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     588628 | PA      | $559165.93    | 0.35%             | 2035-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC76A6 PIMCO SWAPTION 4.0325 PUT USD 202605        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $5329.32      | 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      | $-215346.81   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3925.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1140.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND              | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |       2684 | PA      | $26137.30     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7399 FR 12/54 FIXED 4.5           | CUSIP: 3132DVGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     766246 | PA      | $746670.26    | 0.46%             | 2054-12-01      | Fixed         | 4.50%                 | 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      | $-289217.34   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A1            | CUSIP: 46630GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5874 | PA      | $5705.43      | 0.00%             | 2035-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX MAIN44 5Y ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-865.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-714.01      | -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      | $-818.78      | -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        |     500000 | NC      | $28329.50     | 0.02%             |  |  |  | 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      | $-682.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 1A1A     | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     923320 | PA      | $425458.92    | 0.26%             | 2035-10-19      | Floating      | 5.86%                 | 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      | $-30981.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260506                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $9.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260408                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1808.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ICE 3MTH SONIA FU MAR27 IFLL 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         50 | NC      | $23101.46     | 0.01%             |  |  |  | No            |                  1 | 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      | $197.95       | 0.00%             |  |  |  | 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        |   -1520000 | NC      | $-48638.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-537.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-839.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2971 FN 08/45 FIXED VAR                   | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108856 | PA      | $105475.47    | 0.07%             | 2045-08-01      | Fixed         | 4.00%                 | 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      | $-81977.45    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1413.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260819                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5390.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1         | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197589 | PA      | $194873.43    | 0.12%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1764.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                            | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A               | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700594.92    | 0.43%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3117.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $6598.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-295.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2631.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-328.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $5729.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SIS6 PIMCO CDSOPT PUT USD 96.58984375 202        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3400000 | NC      | $28513.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 1AV1               | CUSIP: 3622ECAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     585938 | PA      | $206236.34    | 0.13%             | 2037-05-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2B                        | CUSIP: 3622MGAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190401 | PA      | $94480.86     | 0.06%             | 2046-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2057.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1        | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142024 | PA      | $129544.07    | 0.08%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260423                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-239.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.89000 12/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $505.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10281.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $12405.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 2YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -27 | NC      | $38357.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE               | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50000 | PA      | $43850.38     | 0.03%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.44600 10/23/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2753.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4200000 | NC      | $10016.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.52250 12/01/30-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-1190.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3828                                                   | FREDDIE MAC FHR 3828 SY                               | CUSIP: 3137A7VH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2985 | PA      | $1964.78      | 0.00%             | 2041-02-15      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8CA7 PIMCO SWAPTION 3.899 PUT USD 2026062        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2200000 | NC      | $-15295.28    | -0.01%            |  |  |  | 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        |      32955 | PA      | $32560.14     | 0.02%             | 2035-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $696.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1432.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1              | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30169 | PA      | $26546.37     | 0.02%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1790000 | PA      | $1725891.78   | 1.07%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $434.87       | 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        |    2700000 | NC      | $4109.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-6194.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $16042.65     | 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      | $-5385.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.15000 08/25/27-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-73543.82    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                               | IMPAC SECURED ASSETS CORP. IMSA 2005 1 4A             | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37320 | PA      | $36127.80     | 0.02%             | 2035-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-492.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $500.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89900 03/11/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-637.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.72050 04/01/26-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-102.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE6                                             | LOANCORE 2021 CRE6 ISSUER, LTD LNCR 2021 CRE6 A 144A  | CUSIP: 53948HAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      42318 | PA      | $42409.64     | 0.03%             | 2038-11-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A3      | CUSIP: 92927XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41094 | PA      | $37034.15     | 0.02%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | MSCI EAFE        JUN26 IFUS 20260619                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          5 | NC      | $15526.63     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $49435.06     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1970000 | PA      | $1855124.77   | 1.15%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-493.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1300000 | NC      | $1978.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-145.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-0.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3848                                                   | FREDDIE MAC FHR 3848 WX                               | CUSIP: 3137A9D52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175589 | PA      | $177877.61    | 0.11%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -14 | NC      | $31270.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 2A2       | CUSIP: 589929M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17580 | PA      | $17236.06     | 0.01%             | 2033-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4.5 JUMBOS                          | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3280000 | PA      | $3169180.80   | 1.96%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1285.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8981.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-758.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 09/16/26-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $140094.43    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1        | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     282827 | PA      | $278380.59    | 0.17%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3330.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-412.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $22.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-4                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 4 3A          | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61701 | PA      | $61351.80     | 0.04%             | 2044-12-25      | Floating      | 5.29%                 | 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      | $372957.10    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-18.76       | -0.00%            |  |  |  | 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        |    1900000 | NC      | $11152.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | KBCZ26C45 DEC26 45 CALL FSO                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         17 | NC      | $1275.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2002-B                                            | EMC MORTGAGE LOAN TRUST EMCM 2002 B A1 144A           | CUSIP: 268668BD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9844 | PA      | $9963.85      | 0.01%             | 2041-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINANCIAL SERVICES INC                                    | HARLEY DAVIDSON FND CP                                | CUSIP: 41282KDG0<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499082.65    | 0.31%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11000 08/25/27-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3013.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $2115.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR               | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    5500000 | PA      | $123270.89    | 0.08%             | 2028-09-06      | Fixed         | 39.28%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1555.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-10Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8608.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUTA2 PIMCO SWAPTION 3.174 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     200000 | NC      | $79.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3951                                                   | FREDDIE MAC FHR 3951 US                               | CUSIP: 3137AHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79249 | PA      | $73964.83     | 0.05%             | 2040-02-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260819                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $3817.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC7KA0 PIMCO SWAPTION 3.951 PUT USD 2026062        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-11690.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 5A1       | CUSIP: 863579VV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36841 | PA      | $18158.28     | 0.01%             | 2035-08-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SEQ4 PIMCO FXVAN CALL USD BRL 5.70000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -460000 | NC      | $-522.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 2A1      | CUSIP: 74958XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188105 | PA      | $162333.71    | 0.10%             | 2037-04-25      | Floating      | 5.38%                 | 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        |      16583 | PA      | $15764.29     | 0.01%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-103.07      | -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      | $-150.68      | -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        |    1500000 | NC      | $2157.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-15711.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4470000 | PA      | $-4089017.52  | -2.53%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-548.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1447.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                            | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A            | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2633772 | PA      | $343620.05    | 0.21%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-13.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-L                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 L 2A1       | CUSIP: 05949AZE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7288 | PA      | $7055.17      | 0.00%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-1690.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9112.77     | -0.01%            |  |  |  | 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        |     200000 | NC      | $261.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     700000 | NC      | $37940.77     | 0.02%             |  |  |  | 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      | $2731.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2022-B                                         | CPS AUTO TRUST CPS 2022 B D 144A                      | CUSIP: 12663BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     140494 | PA      | $140593.87    | 0.09%             | 2028-08-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $15.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1       | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24352 | PA      | $24224.29     | 0.01%             | 2035-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-257.16      | -0.00%            |  |  |  | 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      | $-1606.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1652.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1219.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1695.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-480.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                                    | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1      | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     997261 | PA      | $1052504.34   | 0.65%             | 2034-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $231.71       | 0.00%             |  |  |  | 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        |     200000 | NC      | $284.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4464.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL6924 FN 01/45 FIXED VAR                   | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194409 | PA      | $186073.87    | 0.12%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S7M1 PIMCO CDSOPT CALL USD 0.525 20260520        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -22300000 | NC      | $-13727.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $288.92       | 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      | $725.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1141.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $697.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-549.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/45 4.875                           | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      43000 | PA      | $42868.98     | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | 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      | $1584.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR6                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR6 A6       | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672784 | PA      | $593617.22    | 0.37%             | 2037-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4245.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4       | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3973 | PA      | $3885.81      | 0.00%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-334.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $62.88        | 0.00%             |  |  |  | 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      | $264.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1              | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3508 | PA      | $3382.69      | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | 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      | $-5037.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1      | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149174 | PA      | $127560.77    | 0.08%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 F1 2A6       | CUSIP: 59023YAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77107 | PA      | $23218.43     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAN1A8 PIMCO SWAPTION 4.082 PUT USD 2027010        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17700000 | NC      | $27312.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360438 NIGERIA OMO BILL                            | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  181000000 | PA      | $114108.15    | 0.07%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260429                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-395.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $354.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $126881.32    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260506                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-108.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     500000 | NC      | $30372.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $806.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-35.96       | -0.00%            |  |  |  | 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        |     500000 | PA      | $500684.19    | 0.31%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1076.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-158.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2644.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $959.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3200000 | NC      | $-5931.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR2                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR2 A1A     | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76505 | PA      | $70727.85     | 0.04%             | 2046-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $107.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1585.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-309.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR7 A4       | CUSIP: 92922FQ50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37987 | PA      | $39807.24     | 0.02%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD 2021-25A                                             | SYMPHONY CLO LTD SYMP 2021 25A AR 144A                | CUSIP: 87167WDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700389.89    | 0.43%             | 2034-04-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.40000 04/09/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $985.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260428                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-539.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-40                                                 | FANNIE MAE FNR 2011 40 SX                             | CUSIP: 31397SWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3333 | PA      | $2169.47      | 0.00%             | 2040-11-25      | Floating      | 0.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX MAIN45 5Y ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-1786.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $915.82       | 0.00%             |  |  |  | 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      | $-1350.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -4 | NC      | $10716.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $15308.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1474.75      | 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        |     100000 | PA      | $100840.50    | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1095.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR+26.5 MEI                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-33937.58    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9970000 | PA      | $9880481.87   | 6.11%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     800000 | NC      | $1217.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-336.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2323.64      | 0.00%             |  |  |  | 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      | $-365.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $28524.15     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.38500 10/17/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3230.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $2080.81      | 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      | $-503.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBFPA8 PIMCO SWAPTION 3.7675 PUT USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-1276.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.46300 10/23/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2621.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                                       | LRECS 2025 CRE1 LLC LRECS 2025 CRE1 A 144A            | CUSIP: 50230AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     600000 | PA      | $598957.65    | 0.37%             | 2043-08-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAV0A1 PIMCO SWAPTION 3.26 CALL USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1900000 | NC      | $1270.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $1748.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-84.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-24                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 24 A10      | CUSIP: 02151GAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148665 | PA      | $46823.18     | 0.03%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BPS                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $222133.45    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                         | FANNIE MAE FNR 2007 4 SL                              | CUSIP: 31396PMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53221 | PA      | $6183.82      | 0.00%             | 2037-02-25      | Floating      | 3.42%                 | 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        |     361056 | PA      | $363425.72    | 0.22%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-491.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1        | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4810 | PA      | $4671.48      | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260417                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-587.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $240.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $3170.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1356.71     | -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        |    1300000 | NC      | $66750.06     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC0TA6 PIMCO SWAPTION 3.6 PUT USD 20260602         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-34344.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-532.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $53.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $56.72        | 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      | $-9343.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 10Y BOND FUT JUN26 XSFE 20260615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         23 | NC      | $-10383.05    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-278.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1      | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     401003 | PA      | $318132.44    | 0.20%             | 2036-06-25      | Floating      | 4.97%                 | 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        |     100000 | PA      | $76591.39     | 0.05%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-2321.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A    | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232376 | PA      | $219544.09    | 0.14%             | 2035-07-25      | Floating      | 4.27%                 | 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        |     300000 | PA      | $310641.00    | 0.19%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100041 | PA      | $65490.73     | 0.04%             | 2046-09-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCO1 PIMCO CDSOPT PUT USD 101.11328125 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-2045.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5              | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    2900000 | PA      | $160187.46    | 0.10%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $92.09        | 0.00%             |  |  |  | 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        |     500000 | PA      | $500669.91    | 0.31%             | 2035-07-25      | Floating      | 4.94%                 | 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      | $-19598.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX HY45 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2151.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ADJ IR S+P 500 TR JUN26 XCME 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        -15 | NC      | $253815.00    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-598.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1226.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2992.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260602                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE               | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3220000 | PA      | $-2592980.44  | -1.60%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                                     | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     232850 | PA      | $232820.37    | 0.14%             | 2037-01-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $560.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 3A4        | CUSIP: 05950RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18197 | PA      | $17017.15     | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.53500 11/06/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4111.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                           | GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A4               | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6862 | PA      | $17836.88     | 0.01%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-0.25        | -0.00%            |  |  |  | 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        |     388505 | PA      | $383225.68    | 0.24%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A3            | CUSIP: 46630GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3972 | PA      | $3826.11      | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-25                                                 | FANNIE MAE FNR 2007 25 FB                             | CUSIP: 31396VCB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1440 | PA      | $1422.49      | 0.00%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A       | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85000 | PA      | $79179.44     | 0.05%             | 2037-07-27      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AX2488 FN 10/44 FIXED 4                     | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60900 | PA      | $59289.85     | 0.04%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-312.45      | -0.00%            |  |  |  | No            |                  2 | 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        |     200000 | PA      | $202302.87    | 0.13%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-907.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $730.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SHACKLETON CLO LTD 2019-14A                                               | SHACKLETON CLO LTD SHACK 2019 14A A1RR 144A           | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $700931.32    | 0.43%             | 2034-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B       | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3113806 | PA      | $720163.45    | 0.45%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260507                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2930.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S949 PIMCO CDSOPT CALL USD 0.5 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -16800000 | NC      | $-5186.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8946.77     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2764                                                          | FREDDIE MAC FHR 2764 ZG                               | CUSIP: 31394TYD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73131 | PA      | $74942.38     | 0.05%             | 2034-03-15      | Fixed         | 5.50%                 | 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      | $1650685.61   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-OAT FUTURE   JUN26 XEUR 20260608                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -72 | NC      | $312958.48    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 08/32 6.15            | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     600000 | PA      | $180312.08    | 0.11%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $2.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.0000 09/16/26-10Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-17824.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBKMA0 PIMCO SWAPTION 3.4625 CALL USD 20260        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2000000 | NC      | $1632.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-620.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A1       | CUSIP: 05948XBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        145 | PA      | $142.94       | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1800000 | NC      | $115528.14    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-1146.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                 | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5  | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     700000 | PA      | $704550.00    | 0.44%             | 2030-08-17      | Fixed         | 5.50%                 | 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      | $-4343.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $149.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND               | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    2548770 | PA      | $25016175.00  | 15.46%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1325.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2            | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20247 | PA      | $8775.89      | 0.01%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-7870.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 03/28 21.954              | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   11200000 | PA      | $200626.44    | 0.12%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCA9A6 PIMCO SWAPTION 3.589 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-8887.20     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $370.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20261002                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-2191.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     269907 | NC      | $804.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG44 5Y ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-63836.00    | -0.04%            |  |  |  | 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        |      69839 | PA      | $65015.12     | 0.04%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-817.44      | -0.00%            |  |  |  | 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        |      93975 | PA      | $96070.40     | 0.06%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261221                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $5172.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2465.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-689.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-257.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $936.99       | 0.00%             |  |  |  | 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      | $2244.45      | 0.00%             |  |  |  | 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      | $-913.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $192.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3A       | CUSIP: 59024FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     412870 | PA      | $95661.74     | 0.06%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10                   | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1    | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48405 | PA      | $36572.57     | 0.02%             | 2035-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-666.36      | -0.00%            |  |  |  | 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        |     100000 | NC      | $266.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1296 FN 08/51 FIXED VAR                   | CUSIP: 3140W1NN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2823372 | PA      | $2726539.60   | 1.69%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1      | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13750 | PA      | $13052.78     | 0.01%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1000000 | NC      | $52403.90     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/36 4.125                           | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     900000 | PA      | $886007.81    | 0.55%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8780.03     | -0.01%            |  |  |  | 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        |     200000 | PA      | $140520.00    | 0.09%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR-4.5 MYI                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |          1 | NC      | $-327690.58   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5        | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32724 | PA      | $15432.89     | 0.01%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCAEA0 PIMCO SWAPTION 4.219 PUT USD 2026060        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1800000 | NC      | $6227.28      | 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        |    1000000 | PA      | $1002986.25   | 0.62%             | 2037-04-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                            | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A21              | CUSIP: 12544AAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     326495 | PA      | $138675.17    | 0.09%             | 2037-02-25      | Fixed         | 6.00%                 | 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      | $-4708.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBSFA1 PIMCO SWAPTION 3.449 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2500000 | NC      | $17.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                            | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1               | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6629 | PA      | $6287.67      | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1       | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121117 | PA      | $59018.70     | 0.04%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SEO9 PIMCO FXVAN PUT USD BRL 5.32000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     460000 | NC      | $13588.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.75000 09/16/26-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-298687.71   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-15                                                        | FANNIE MAE FNR 2007 15 AI                             | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     118797 | PA      | $10919.97     | 0.01%             | 2037-03-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5     | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45512 | PA      | $45498.27     | 0.03%             | 2036-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-A                                            | FREMONT HOME LOAN TRUST FHLT 2005 A M3                | CUSIP: 35729PHN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15954 | PA      | $15910.67     | 0.01%             | 2035-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-45.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260702                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4692.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                               | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A9       | CUSIP: 12566VAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     207813 | PA      | $172863.26    | 0.11%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     900000 | NC      | $71305.20     | 0.04%             |  |  |  | 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      | $13218.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $284.56       | 0.00%             |  |  |  | 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      | $436859.16    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2962.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-351.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-108.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1015.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.39500 10/17/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6305.76     | -0.00%            |  |  |  | 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        |    2500000 | PA      | $682562.72    | 0.42%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  104300000 | NC      | $352826.04    | 0.22%             |  |  |  | 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        |     100000 | NC      | $296.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                               | PHILLIPS 66                                           | CUSIP: 71855BDQ2<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1595696.16   | 0.99%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2022-C                                           | BANKERS HEALTHCARE GROUP SECUR BHG 2022 C B 144A      | CUSIP: 08860DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     115381 | PA      | $115518.29    | 0.07%             | 2035-10-17      | Fixed         | 5.93%                 | 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        |       6065 | PA      | $6051.24      | 0.00%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/17/26-7Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8354.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5480                                                   | FREDDIE MAC FHR 5480 FG                               | CUSIP: 3137HHUD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182125 | PA      | $183454.20    | 0.11%             | 2054-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-296.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2040.49     | -0.00%            |  |  |  | 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        |     200000 | NC      | $379.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5         | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85383.26     | 0.05%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-178.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260505                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-221.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                           | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $991541.32    | 0.61%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1577.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $182.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $775.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-413.95      | -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      | $-19190.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-15942.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1      | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155174 | PA      | $145494.27    | 0.09%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        531 | NC      | $-693543.81   | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260506                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260409                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $7111.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-140.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                               | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1      | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |         29 | PA      | $38.13        | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | 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      | $-1203.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $27748.06     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4 JUMBOS                            | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5150000 | PA      | $4824976.81   | 2.98%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-9900.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                    | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A7       | CUSIP: 18976GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143492 | PA      | $131680.57    | 0.08%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                      | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C      | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119856 | PA      | $73255.63     | 0.05%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1456.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/8.93300 10/28/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |          1 | NC      | $42050.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260916                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $284.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4148.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1143.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCN3 PIMCO CDSOPT PUT USD 102.23437500 20        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -500000 | NC      | $-1615.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-9065.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $75.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 A 144A    | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      68376 | PA      | $68421.85     | 0.04%             | 2036-10-16      | Floating      | 4.87%                 | 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      | $116933.79    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAP I2002-AM3                                  | MORGAN STANLEY DEAN WITTER CAP MSDWC 2002 AM3 A3      | CUSIP: 61746WWR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34905 | PA      | $35214.92     | 0.02%             | 2033-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 10/26 0.00000            | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   15500000 | PA      | $2803338.62   | 1.73%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 4.59000 01/09/26-4Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |          1 | NC      | $529.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260617                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-504.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-3053.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $518.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                            | CUSIP: 21H030641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4600000 | PA      | $-4107367.65  | -2.54%            | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer